Correlation Between Thornburg Value and Thornburg Core

Can any of the company-specific risk be diversified away by investing in both Thornburg Value 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 Thornburg Value and Thornburg Core 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 Thornburg E Growth, you can compare the effects of market volatilities on Thornburg Value 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 Thornburg Value with a short position of Thornburg Core. Check out your portfolio center. Please also check ongoing floating volatility patterns of Thornburg Value and Thornburg Core.

Diversification Opportunities for Thornburg Value and Thornburg Core

0.94

Correlation Coefficient

Thornburg Value  Thornburg Core

Almost no diversification

The 3 months correlation between Thornburg and Thornburg is 0.94. Overlapping area represents the amount of risk that can be diversified away by holding Thornburg Value Fund 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 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 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 Thornburg Value i.e., Thornburg Value and Thornburg Core go up and down completely randomly.

Pair Corralation between Thornburg Value and Thornburg Core

Assuming the 90 days horizon Thornburg Value Fund is expected to under-perform the Thornburg Core. But the mutual fund apears to be less risky and, when comparing its historical volatility, Thornburg Value Fund is 1.16 times less risky than Thornburg Core. The mutual fund trades about -0.22 of its potential returns per unit of risk. The Thornburg E Growth is currently generating about -0.19 of returns per unit of risk over similar time horizon. If you would invest  3,266  in Thornburg E Growth on December 4, 2024 and sell it today you would lose (497.00) from holding Thornburg E Growth or give up 15.22% of portfolio value over 90 days.

Time Period	3 Months [change]
Direction	Moves Together
Strength	Very Strong
Accuracy	98.33%
Values	Daily Returns

Thornburg Value Fund  vs.  Thornburg E Growth

Thornburg Value

Risk-Adjusted Performance

Very Weak

Over the last 90 days Thornburg Value Fund 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 technical and fundamental indicators remain fairly strong which may send shares a bit higher in April 2025. The current disturbance may also be a sign of long term up-swing for the fund investors.

Thornburg E Growth

Risk-Adjusted Performance

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 weak performance in the last few months, the Fund's basic indicators remain fairly strong which may send shares a bit higher in April 2025. The current disturbance may also be a sign of long term up-swing for the fund investors.

Pair Trading with Thornburg Value and Thornburg Core

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

The idea behind Thornburg Value Fund and Thornburg E Growth 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 Global Markets Map module to get a quick overview of global market snapshot using zoomable world map. Drill down to check world indexes.