Correlation Between Thornburg Value and Holbrook Structured

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

Diversification Opportunities for Thornburg Value and Holbrook Structured

0.71

Correlation Coefficient

Thornburg Value  Holbrook Structured

Poor diversification

The 3 months correlation between Thornburg and Holbrook is 0.71. Overlapping area represents the amount of risk that can be diversified away by holding Thornburg Value Fund and Holbrook Structured Income in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Holbrook Structured 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 Holbrook Structured. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Holbrook Structured has no effect on the direction of Thornburg Value i.e., Thornburg Value and Holbrook Structured go up and down completely randomly.

Pair Corralation between Thornburg Value and Holbrook Structured

Assuming the 90 days horizon Thornburg Value Fund is expected to under-perform the Holbrook Structured. In addition to that, Thornburg Value is 55.91 times more volatile than Holbrook Structured Income. It trades about -0.21 of its total potential returns per unit of risk. Holbrook Structured Income is currently generating about -0.22 per unit of volatility. If you would invest  984.00  in Holbrook Structured Income on October 6, 2024 and sell it today you would lose (1.00) from holding Holbrook Structured Income or give up 0.1% of portfolio value over 90 days.

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

Thornburg Value Fund  vs.  Holbrook Structured Income

Thornburg Value

Risk-Adjusted Performance

5 of 100

Insignificant

Compared to the overall equity markets, risk-adjusted returns on investments in Thornburg Value Fund are ranked lower than 5 (%) 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.

Holbrook Structured

Risk-Adjusted Performance

7 of 100

OK

Compared to the overall equity markets, risk-adjusted returns on investments in Holbrook Structured Income are ranked lower than 7 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly strong basic indicators, Holbrook Structured 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 Value and Holbrook Structured

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

The idea behind Thornburg Value Fund and Holbrook Structured Income 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 Portfolio Optimization module to compute new portfolio that will generate highest expected return given your specified tolerance for risk.