Correlation Between Thornburg Value and Thornburg International
Can any of the company-specific risk be diversified away by investing in both Thornburg Value and Thornburg International 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 Value and Thornburg International into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Thornburg Value Fund and Thornburg International Value, you can compare the effects of market volatilities on Thornburg Value and Thornburg International 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 Value with a short position of Thornburg International. Check out your portfolio center. Please also check ongoing floating volatility patterns of Thornburg Value and Thornburg International.
Diversification Opportunities for Thornburg Value and Thornburg International
-0.61 | Correlation Coefficient |
Excellent diversification
The 3 months correlation between Thornburg and Thornburg is -0.61. Overlapping area represents the amount of risk that can be diversified away by holding Thornburg Value Fund and Thornburg International Value in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Thornburg International and Thornburg 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 Thornburg Value Fund are associated (or correlated) with Thornburg International. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Thornburg International has no effect on the direction of Thornburg Value i.e., Thornburg Value and Thornburg International go up and down completely randomly.
Pair Corralation between Thornburg Value and Thornburg International
Assuming the 90 days horizon Thornburg Value Fund is expected to generate 1.28 times more return on investment than Thornburg International. However, Thornburg Value is 1.28 times more volatile than Thornburg International Value. It trades about 0.12 of its potential returns per unit of risk. Thornburg International Value is currently generating about -0.03 per unit of risk. If you would invest 7,124 in Thornburg Value Fund on September 1, 2024 and sell it today you would earn a total of 1,354 from holding Thornburg Value Fund or generate 19.01% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
Thornburg Value Fund vs. Thornburg International Value
Performance |
| Timeline |
| Thornburg Value |
| Thornburg International |
Thornburg Value and Thornburg International Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Thornburg Value and Thornburg International
The main advantage of trading using opposite Thornburg Value and Thornburg International positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Thornburg Value position performs unexpectedly, Thornburg International 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 International will offset losses from the drop in Thornburg International's long position.| Thornburg Value vs. Thornburg Value Fund | Thornburg Value vs. Thornburg New York | Thornburg Value vs. Thornburg International Value | Thornburg Value vs. Thornburg International Value |
| Thornburg International vs. Thornburg E Growth | Thornburg International vs. Mainstay Large Cap | Thornburg International vs. Allianzgi Nfj Small Cap | Thornburg International vs. Columbia Mid Cap |
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 Correlation Analysis module to reduce portfolio risk simply by holding instruments which are not perfectly correlated.
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