Correlation Between Thornburg Value and Invesco Global

Can any of the company-specific risk be diversified away by investing in both Thornburg Value and Invesco Global 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 Invesco Global 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 Invesco Global Health, you can compare the effects of market volatilities on Thornburg Value and Invesco Global 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 Invesco Global. Check out your portfolio center. Please also check ongoing floating volatility patterns of Thornburg Value and Invesco Global.

Diversification Opportunities for Thornburg Value and Invesco Global

-0.17

Correlation Coefficient

Thornburg Value  Invesco Global

Good diversification

The 3 months correlation between Thornburg and Invesco is -0.17. Overlapping area represents the amount of risk that can be diversified away by holding Thornburg Value Fund and Invesco Global Health in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Invesco Global Health 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 Invesco Global. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Invesco Global Health has no effect on the direction of Thornburg Value i.e., Thornburg Value and Invesco Global go up and down completely randomly.

Pair Corralation between Thornburg Value and Invesco Global

Assuming the 90 days horizon Thornburg Value Fund is expected to generate 0.56 times more return on investment than Invesco Global. However, Thornburg Value Fund is 1.78 times less risky than Invesco Global. It trades about -0.18 of its potential returns per unit of risk. Invesco Global Health is currently generating about -0.28 per unit of risk. If you would invest  7,071  in Thornburg Value Fund on October 9, 2024 and sell it today you would lose (309.00) from holding Thornburg Value Fund or give up 4.37% of portfolio value over 90 days.

Time Period	3 Months [change]
Direction	Moves Against
Strength	Insignificant
Accuracy	95.0%
Values	Daily Returns

Thornburg Value Fund  vs.  Invesco Global Health

Thornburg Value

Risk-Adjusted Performance

4 of 100

Insignificant

Compared to the overall equity markets, risk-adjusted returns on investments in Thornburg Value Fund are ranked lower than 4 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly strong technical and fundamental indicators, Thornburg Value is not utilizing all of its potentials. The current stock price disturbance, may contribute to short-term losses for the investors.

Invesco Global Health

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Invesco Global Health has generated negative risk-adjusted returns adding no value to fund investors. In spite of weak performance in the last few months, the Fund's fundamental indicators remain fairly strong which may send shares a bit higher in February 2025. The current disturbance may also be a sign of long term up-swing for the fund investors.

Pair Trading with Thornburg Value and Invesco Global

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

The idea behind Thornburg Value Fund and Invesco Global Health 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.

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 Aroon Oscillator module to analyze current equity momentum using Aroon Oscillator and other momentum ratios.