Correlation Between Vanguard Extended and Thornburg Value
Can any of the company-specific risk be diversified away by investing in both Vanguard Extended 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 Vanguard Extended and Thornburg Value into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Vanguard Extended Market and Thornburg Value Fund, you can compare the effects of market volatilities on Vanguard Extended 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 Vanguard Extended with a short position of Thornburg Value. Check out your portfolio center. Please also check ongoing floating volatility patterns of Vanguard Extended and Thornburg Value.
Diversification Opportunities for Vanguard Extended and Thornburg Value
0.99 | Correlation Coefficient |
No risk reduction
The 3 months correlation between Vanguard and Thornburg is 0.99. Overlapping area represents the amount of risk that can be diversified away by holding Vanguard Extended Market and Thornburg Value Fund in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Thornburg Value and Vanguard Extended 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 Vanguard Extended Market 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 Vanguard Extended i.e., Vanguard Extended and Thornburg Value go up and down completely randomly.
Pair Corralation between Vanguard Extended and Thornburg Value
Assuming the 90 days horizon Vanguard Extended Market is expected to generate 1.06 times more return on investment than Thornburg Value. However, Vanguard Extended is 1.06 times more volatile than Thornburg Value Fund. It trades about 0.08 of its potential returns per unit of risk. Thornburg Value Fund is currently generating about 0.07 per unit of risk. If you would invest 10,168 in Vanguard Extended Market on August 29, 2024 and sell it today you would earn a total of 5,358 from holding Vanguard Extended Market or generate 52.69% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
Vanguard Extended Market vs. Thornburg Value Fund
Performance |
| Timeline |
| Vanguard Extended Market |
| Thornburg Value |
Vanguard Extended and Thornburg Value Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Vanguard Extended and Thornburg Value
The main advantage of trading using opposite Vanguard Extended and Thornburg Value positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Vanguard Extended 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.| Vanguard Extended vs. Vanguard Total International | Vanguard Extended vs. Vanguard Total Bond | Vanguard Extended vs. Vanguard Value Index | Vanguard Extended vs. Vanguard Growth Index |
| Thornburg Value vs. Vanguard Mid Cap Index | Thornburg Value vs. Vanguard Mid Cap Index | Thornburg Value vs. Vanguard Mid Cap Index | Thornburg Value vs. Vanguard Extended Market |
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 Pattern Recognition module to use different Pattern Recognition models to time the market across multiple global exchanges.
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