Correlation Between Transamerica Funds and Thornburg Value
Can any of the company-specific risk be diversified away by investing in both Transamerica Funds and Thornburg Value 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 Transamerica Funds and Thornburg Value into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Transamerica Funds and Thornburg Value Fund, you can compare the effects of market volatilities on Transamerica Funds and Thornburg Value 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 Transamerica Funds with a short position of Thornburg Value. Check out your portfolio center. Please also check ongoing floating volatility patterns of Transamerica Funds and Thornburg Value.
Diversification Opportunities for Transamerica Funds and Thornburg Value
0.66 | Correlation Coefficient |
Poor diversification
The 3 months correlation between Transamerica and Thornburg is 0.66. Overlapping area represents the amount of risk that can be diversified away by holding Transamerica Funds and Thornburg Value Fund in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Thornburg Value and Transamerica Funds 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 Transamerica Funds are associated (or correlated) with Thornburg Value. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Thornburg Value has no effect on the direction of Transamerica Funds i.e., Transamerica Funds and Thornburg Value go up and down completely randomly.
Pair Corralation between Transamerica Funds and Thornburg Value
Assuming the 90 days horizon Transamerica Funds is expected to generate 7.21 times less return on investment than Thornburg Value. But when comparing it to its historical volatility, Transamerica Funds is 7.36 times less risky than Thornburg Value. It trades about 0.1 of its potential returns per unit of risk. Thornburg Value Fund is currently generating about 0.1 of returns per unit of risk over similar time horizon. If you would invest 6,547 in Thornburg Value Fund on August 29, 2024 and sell it today you would earn a total of 2,394 from holding Thornburg Value Fund or generate 36.57% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 89.42% |
| Values | Daily Returns |
Transamerica Funds vs. Thornburg Value Fund
Performance |
| Timeline |
| Transamerica Funds |
| Thornburg Value |
Transamerica Funds and Thornburg Value Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Transamerica Funds and Thornburg Value
The main advantage of trading using opposite Transamerica Funds and Thornburg Value positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Transamerica Funds position performs unexpectedly, Thornburg Value 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 Value will offset losses from the drop in Thornburg Value's long position.| Transamerica Funds vs. Vanguard Total Stock | Transamerica Funds vs. Vanguard 500 Index | Transamerica Funds vs. Vanguard Total Stock | Transamerica Funds vs. Vanguard Total Stock |
| Thornburg Value vs. Nebraska Municipal Fund | Thornburg Value vs. Ambrus Core Bond | Thornburg Value vs. Prudential Jennison Financial | Thornburg Value vs. Transamerica Funds |
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 Portfolio Volatility module to check portfolio volatility and analyze historical return density to properly model market risk.
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