Correlation Between Thornburg Value and Vanguard Mid-cap
Can any of the company-specific risk be diversified away by investing in both Thornburg Value and Vanguard Mid-cap 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 Vanguard Mid-cap 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 Vanguard Mid Cap Index, you can compare the effects of market volatilities on Thornburg Value and Vanguard Mid-cap 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 Vanguard Mid-cap. Check out your portfolio center. Please also check ongoing floating volatility patterns of Thornburg Value and Vanguard Mid-cap.
Diversification Opportunities for Thornburg Value and Vanguard Mid-cap
0.98 | Correlation Coefficient |
Almost no diversification
The 3 months correlation between Thornburg and Vanguard is 0.98. Overlapping area represents the amount of risk that can be diversified away by holding Thornburg Value Fund and Vanguard Mid Cap Index in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Vanguard Mid Cap 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 Vanguard Mid-cap. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Vanguard Mid Cap has no effect on the direction of Thornburg Value i.e., Thornburg Value and Vanguard Mid-cap go up and down completely randomly.
Pair Corralation between Thornburg Value and Vanguard Mid-cap
Assuming the 90 days horizon Thornburg Value Fund is expected to generate 1.52 times more return on investment than Vanguard Mid-cap. However, Thornburg Value is 1.52 times more volatile than Vanguard Mid Cap Index. It trades about 0.12 of its potential returns per unit of risk. Vanguard Mid Cap Index is currently generating about 0.17 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 Together |
| Strength | Very Strong |
| Accuracy | 99.21% |
| Values | Daily Returns |
Thornburg Value Fund vs. Vanguard Mid Cap Index
Performance |
| Timeline |
| Thornburg Value |
| Vanguard Mid Cap |
Thornburg Value and Vanguard Mid-cap Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Thornburg Value and Vanguard Mid-cap
The main advantage of trading using opposite Thornburg Value and Vanguard Mid-cap positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Thornburg Value position performs unexpectedly, Vanguard Mid-cap 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 Vanguard Mid-cap will offset losses from the drop in Vanguard Mid-cap'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 |
| Vanguard Mid-cap vs. Vanguard Small Cap Index | Vanguard Mid-cap vs. Vanguard 500 Index | Vanguard Mid-cap vs. Vanguard Growth Index | Vanguard Mid-cap vs. Vanguard Total International |
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 Sign In To Macroaxis module to sign in to explore Macroaxis' wealth optimization platform and fintech modules.
Other Complementary Tools
| Portfolio Backtesting Avoid under-diversification and over-optimization by backtesting your portfolios | |
| Funds Screener Find actively-traded funds from around the world traded on over 30 global exchanges | |
| Efficient Frontier Plot and analyze your portfolio and positions against risk-return landscape of the market. | |
| Odds Of Bankruptcy Get analysis of equity chance of financial distress in the next 2 years | |
| Cryptocurrency Center Build and monitor diversified portfolio of extremely risky digital assets and cryptocurrency |