Correlation Between Nebraska Municipal and Thornburg Value
Can any of the company-specific risk be diversified away by investing in both Nebraska Municipal 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 Nebraska Municipal and Thornburg Value into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Nebraska Municipal Fund and Thornburg Value Fund, you can compare the effects of market volatilities on Nebraska Municipal 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 Nebraska Municipal with a short position of Thornburg Value. Check out your portfolio center. Please also check ongoing floating volatility patterns of Nebraska Municipal and Thornburg Value.
Diversification Opportunities for Nebraska Municipal and Thornburg Value
-0.31 | Correlation Coefficient |
Very good diversification
The 3 months correlation between Nebraska and Thornburg is -0.31. Overlapping area represents the amount of risk that can be diversified away by holding Nebraska Municipal Fund and Thornburg Value Fund in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Thornburg Value and Nebraska Municipal 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 Nebraska Municipal Fund 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 Nebraska Municipal i.e., Nebraska Municipal and Thornburg Value go up and down completely randomly.
Pair Corralation between Nebraska Municipal and Thornburg Value
Assuming the 90 days horizon Nebraska Municipal is expected to generate 5.53 times less return on investment than Thornburg Value. But when comparing it to its historical volatility, Nebraska Municipal Fund is 3.57 times less risky than Thornburg Value. It trades about 0.23 of its potential returns per unit of risk. Thornburg Value Fund is currently generating about 0.35 of returns per unit of risk over similar time horizon. If you would invest 8,083 in Thornburg Value Fund on September 1, 2024 and sell it today you would earn a total of 888.00 from holding Thornburg Value Fund or generate 10.99% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Insignificant |
| Accuracy | 95.45% |
| Values | Daily Returns |
Nebraska Municipal Fund vs. Thornburg Value Fund
Performance |
| Timeline |
| Nebraska Municipal |
| Thornburg Value |
Nebraska Municipal and Thornburg Value Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Nebraska Municipal and Thornburg Value
The main advantage of trading using opposite Nebraska Municipal and Thornburg Value positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Nebraska Municipal 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.| Nebraska Municipal vs. Lord Abbett Convertible | Nebraska Municipal vs. Harbor Vertible Securities | Nebraska Municipal vs. Virtus Convertible | Nebraska Municipal vs. Rationalpier 88 Convertible |
| Thornburg Value vs. Thornburg Value Fund | Thornburg Value vs. Thornburg International Value | Thornburg Value vs. Thornburg International Value | Thornburg Value vs. Thornburg International 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 Commodity Channel module to use Commodity Channel Index to analyze current equity momentum.
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