Correlation Between Vanguard Small-cap and Thornburg Core
Can any of the company-specific risk be diversified away by investing in both Vanguard Small-cap and Thornburg Core 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 Small-cap and Thornburg Core into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Vanguard Small Cap Index and Thornburg E Growth, you can compare the effects of market volatilities on Vanguard Small-cap and Thornburg Core 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 Small-cap with a short position of Thornburg Core. Check out your portfolio center. Please also check ongoing floating volatility patterns of Vanguard Small-cap and Thornburg Core.
Diversification Opportunities for Vanguard Small-cap and Thornburg Core
0.92 | Correlation Coefficient |
Almost no diversification
The 3 months correlation between Vanguard and Thornburg is 0.92. Overlapping area represents the amount of risk that can be diversified away by holding Vanguard Small Cap Index and Thornburg E Growth in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Thornburg E Growth and Vanguard Small-cap 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 Small Cap Index are associated (or correlated) with Thornburg Core. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Thornburg E Growth has no effect on the direction of Vanguard Small-cap i.e., Vanguard Small-cap and Thornburg Core go up and down completely randomly.
Pair Corralation between Vanguard Small-cap and Thornburg Core
Assuming the 90 days horizon Vanguard Small-cap is expected to generate 1.11 times less return on investment than Thornburg Core. But when comparing it to its historical volatility, Vanguard Small Cap Index is 1.07 times less risky than Thornburg Core. It trades about 0.07 of its potential returns per unit of risk. Thornburg E Growth is currently generating about 0.07 of returns per unit of risk over similar time horizon. If you would invest 2,576 in Thornburg E Growth on August 29, 2024 and sell it today you would earn a total of 1,233 from holding Thornburg E Growth or generate 47.86% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
Vanguard Small Cap Index vs. Thornburg E Growth
Performance |
| Timeline |
| Vanguard Small Cap |
| Thornburg E Growth |
Vanguard Small-cap and Thornburg Core Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Vanguard Small-cap and Thornburg Core
The main advantage of trading using opposite Vanguard Small-cap and Thornburg Core positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Vanguard Small-cap position performs unexpectedly, Thornburg Core 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 Core will offset losses from the drop in Thornburg Core's long position.| Vanguard Small-cap vs. Tax Managed Mid Small | Vanguard Small-cap vs. Baird Smallmid Cap | Vanguard Small-cap vs. Us Small Cap | Vanguard Small-cap vs. Small Midcap Dividend Income |
| Thornburg Core vs. Needham Aggressive Growth | Thornburg Core vs. Western Asset High | Thornburg Core vs. Morningstar Aggressive Growth | Thornburg Core vs. Vanguard High Yield Tax Exempt |
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 Idea Analyzer module to analyze all characteristics, volatility and risk-adjusted return of Macroaxis ideas.
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