Correlation Between Thornburg International and Alger Capital

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Can any of the company-specific risk be diversified away by investing in both Thornburg International and Alger Capital 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 Thornburg International and Alger Capital into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Thornburg International Value and Alger Capital Appreciation, you can compare the effects of market volatilities on Thornburg International and Alger Capital 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 Thornburg International with a short position of Alger Capital. Check out your portfolio center. Please also check ongoing floating volatility patterns of Thornburg International and Alger Capital.

Diversification Opportunities for Thornburg International and Alger Capital

0.2
  Correlation Coefficient

Modest diversification

The 3 months correlation between Thornburg and Alger is 0.2. Overlapping area represents the amount of risk that can be diversified away by holding Thornburg International Value and Alger Capital Appreciation in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Alger Capital Apprec and Thornburg International 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 Thornburg International Value are associated (or correlated) with Alger Capital. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Alger Capital Apprec has no effect on the direction of Thornburg International i.e., Thornburg International and Alger Capital go up and down completely randomly.

Pair Corralation between Thornburg International and Alger Capital

Assuming the 90 days horizon Thornburg International Value is expected to generate 0.52 times more return on investment than Alger Capital. However, Thornburg International Value is 1.93 times less risky than Alger Capital. It trades about 0.18 of its potential returns per unit of risk. Alger Capital Appreciation is currently generating about 0.02 per unit of risk. If you would invest  2,610  in Thornburg International Value on November 27, 2024 and sell it today you would earn a total of  69.00  from holding Thornburg International Value or generate 2.64% return on investment over 90 days.
Time Period3 Months [change]
DirectionMoves Together 
StrengthVery Weak
Accuracy100.0%
ValuesDaily Returns

Thornburg International Value  vs.  Alger Capital Appreciation

 Performance 
       Timeline  
Thornburg International 

Risk-Adjusted Performance

OK

 
Weak
 
Strong
Compared to the overall equity markets, risk-adjusted returns on investments in Thornburg International Value are ranked lower than 10 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly weak basic indicators, Thornburg International may actually be approaching a critical reversion point that can send shares even higher in March 2025.
Alger Capital Apprec 

Risk-Adjusted Performance

Very Weak

 
Weak
 
Strong
Over the last 90 days Alger Capital Appreciation has generated negative risk-adjusted returns adding no value to fund investors. In spite of weak performance in the last few months, the Fund's basic indicators remain fairly strong which may send shares a bit higher in March 2025. The current disturbance may also be a sign of long term up-swing for the fund investors.

Thornburg International and Alger Capital Volatility Contrast

   Predicted Return Density   
       Returns  

Pair Trading with Thornburg International and Alger Capital

The main advantage of trading using opposite Thornburg International and Alger Capital positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Thornburg International position performs unexpectedly, Alger Capital 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 Alger Capital will offset losses from the drop in Alger Capital's long position.
The idea behind Thornburg International Value and Alger Capital Appreciation pairs trading is to make the combined position market-neutral, meaning the overall market's direction will not affect its win or loss (or potential downside or upside). This can be achieved by designing a pairs trade with two highly correlated stocks or equities that operate in a similar space or sector, making it possible to obtain profits through simple and relatively low-risk investment.
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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 Positions Ratings module to determine portfolio positions ratings based on digital equity recommendations. Macroaxis instant position ratings are based on combination of fundamental analysis and risk-adjusted market performance.

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