Correlation Between Thornburg International and Janus Forty

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

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

Diversification Opportunities for Thornburg International and Janus Forty

-0.36

Correlation Coefficient

Thornburg International  Janus Forty

Very good diversification

The 3 months correlation between Thornburg and Janus is -0.36. Overlapping area represents the amount of risk that can be diversified away by holding Thornburg International Value and Janus Forty Fund in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Janus Forty Fund and Thornburg International 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 International Value are associated (or correlated) with Janus Forty. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Janus Forty Fund has no effect on the direction of Thornburg International i.e., Thornburg International and Janus Forty go up and down completely randomly.

Pair Corralation between Thornburg International and Janus Forty

Assuming the 90 days horizon Thornburg International Value is expected to under-perform the Janus Forty. In addition to that, Thornburg International is 1.19 times more volatile than Janus Forty Fund. It trades about -0.14 of its total potential returns per unit of risk. Janus Forty Fund is currently generating about 0.17 per unit of volatility. If you would invest  5,424  in Janus Forty Fund on August 31, 2024 and sell it today you would earn a total of  509.00  from holding Janus Forty Fund or generate 9.38% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Against
Strength	Insignificant
Accuracy	100.0%
Values	Daily Returns

Thornburg International Value  vs.  Janus Forty Fund

Thornburg International

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Thornburg International Value has generated negative risk-adjusted returns adding no value to fund investors. In spite of latest weak performance, the Fund's fundamental indicators remain strong and the current disturbance on Wall Street may also be a sign of long term gains for the fund investors.

Janus Forty Fund

Risk-Adjusted Performance

13 of 100

Good

Compared to the overall equity markets, risk-adjusted returns on investments in Janus Forty Fund are ranked lower than 13 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly weak basic indicators, Janus Forty may actually be approaching a critical reversion point that can send shares even higher in December 2024.

Pair Trading with Thornburg International and Janus Forty

The main advantage of trading using opposite Thornburg International and Janus Forty positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Thornburg International position performs unexpectedly, Janus Forty 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 Janus Forty will offset losses from the drop in Janus Forty's long position.

The idea behind Thornburg International Value and Janus Forty 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 Correlation Analysis module to reduce portfolio risk simply by holding instruments which are not perfectly correlated.