Correlation Between Ab Value and Thornburg
Can any of the company-specific risk be diversified away by investing in both Ab Value and Thornburg at the same time? Although using a correlation coefficient on its own may not help to predict future stock returns, this module helps to understand the diversifiable risk of combining Ab Value and Thornburg into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Ab Value Fund and Thornburg E Growth, you can compare the effects of market volatilities on Ab Value and Thornburg and check how they will diversify away market risk if combined in the same portfolio for a given time horizon. You can also utilize pair trading strategies of matching a long position in Ab Value with a short position of Thornburg. Check out your portfolio center. Please also check ongoing floating volatility patterns of Ab Value and Thornburg.
Diversification Opportunities for Ab Value and Thornburg
Very poor diversification
The 3 months correlation between ABVCX and Thornburg is 0.88. Overlapping area represents the amount of risk that can be diversified away by holding Ab Value Fund and Thornburg E Growth in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Thornburg E Growth and Ab Value is a relative statistical measure of the degree to which these equity instruments tend to move together. The correlation coefficient measures the extent to which returns on Ab Value Fund are associated (or correlated) with Thornburg. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Thornburg E Growth has no effect on the direction of Ab Value i.e., Ab Value and Thornburg go up and down completely randomly.
Pair Corralation between Ab Value and Thornburg
Assuming the 90 days horizon Ab Value is expected to generate 1.9 times less return on investment than Thornburg. But when comparing it to its historical volatility, Ab Value Fund is 1.33 times less risky than Thornburg. It trades about 0.05 of its potential returns per unit of risk. Thornburg E Growth is currently generating about 0.07 of returns per unit of risk over similar time horizon. If you would invest 2,610 in Thornburg E Growth on August 26, 2024 and sell it today you would earn a total of 1,153 from holding Thornburg E Growth or generate 44.18% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
Ab Value Fund vs. Thornburg E Growth
Performance |
| Timeline |
| Ab Value Fund |
| Thornburg E Growth |
Ab Value and Thornburg Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Ab Value and Thornburg
The main advantage of trading using opposite Ab Value and Thornburg positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Ab Value position performs unexpectedly, Thornburg can make up some of the losses. Pair trading also minimizes risk from directional movements in the market. For example, if an entire industry or sector drops because of unexpected headlines, the short position in Thornburg will offset losses from the drop in Thornburg's long position.| Ab Value vs. Morningstar Unconstrained Allocation | Ab Value vs. Alternative Asset Allocation | Ab Value vs. Touchstone Large Cap | Ab Value vs. Rational Strategic Allocation |
| Thornburg vs. Small Cap Stock | Thornburg vs. Qs Global Equity | Thornburg vs. Ab Value Fund | Thornburg vs. Omni Small Cap Value |
Check out your portfolio center.Note that this page's information should be used as a complementary analysis to find the right mix of equity instruments to add to your existing portfolios or create a brand new portfolio. You can also try the Price Transformation module to use Price Transformation models to analyze the depth of different equity instruments across global markets.
Other Complementary Tools
| Portfolio Comparator Compare the composition, asset allocations and performance of any two portfolios in your account | |
| Alpha Finder Use alpha and beta coefficients to find investment opportunities after accounting for the risk | |
| Portfolio Diagnostics Use generated alerts and portfolio events aggregator to diagnose current holdings | |
| Investing Opportunities Build portfolios using our predefined set of ideas and optimize them against your investing preferences | |
| Money Managers Screen money managers from public funds and ETFs managed around the world |