Correlation Between Thornburg Core and Thornburg Value

Can any of the company-specific risk be diversified away by investing in both Thornburg Core 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 Thornburg Core and Thornburg Value into the same portfolio, which is an essential part of the fundamental portfolio management process.

By analyzing existing cross correlation between Thornburg E Growth and Thornburg Value Fund, you can compare the effects of market volatilities on Thornburg Core 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 Thornburg Core with a short position of Thornburg Value. Check out your portfolio center. Please also check ongoing floating volatility patterns of Thornburg Core and Thornburg Value.

Diversification Opportunities for Thornburg Core and Thornburg Value

0.92

Correlation Coefficient

Thornburg Core  Thornburg Value

Almost no diversification

The 3 months correlation between Thornburg and Thornburg is 0.92. Overlapping area represents the amount of risk that can be diversified away by holding Thornburg E Growth and Thornburg Value Fund in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Thornburg Value and Thornburg Core 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 E Growth 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 Thornburg Core i.e., Thornburg Core and Thornburg Value go up and down completely randomly.

Pair Corralation between Thornburg Core and Thornburg Value

Assuming the 90 days horizon Thornburg E Growth is expected to under-perform the Thornburg Value. In addition to that, Thornburg Core is 1.09 times more volatile than Thornburg Value Fund. It trades about 0.0 of its total potential returns per unit of risk. Thornburg Value Fund is currently generating about 0.04 per unit of volatility. If you would invest  7,405  in Thornburg Value Fund on March 4, 2024 and sell it today you would earn a total of  174.00  from holding Thornburg Value Fund or generate 2.35% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Together
Strength	Very Strong
Accuracy	100.0%
Values	Daily Returns

Thornburg E Growth  vs.  Thornburg Value Fund

Thornburg E Growth

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Thornburg E Growth has generated negative risk-adjusted returns adding no value to fund investors. In spite of fairly strong technical and fundamental indicators, Thornburg Core is not utilizing all of its potentials. The current stock price disturbance, may contribute to short-term losses for the investors.

Thornburg Value

Risk-Adjusted Performance

3 of 100

Insignificant

Compared to the overall equity markets, risk-adjusted returns on investments in Thornburg Value Fund are ranked lower than 3 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly strong basic indicators, Thornburg Value is not utilizing all of its potentials. The current stock price disturbance, may contribute to short-term losses for the investors.

Pair Trading with Thornburg Core and Thornburg Value

The main advantage of trading using opposite Thornburg Core and Thornburg Value positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Thornburg Core 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.

The idea behind Thornburg E Growth and Thornburg Value Fund 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 Money Managers module to screen money managers from public funds and ETFs managed around the world.