Correlation Between Thornburg Value and Thornburg International

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

Diversification Opportunities for Thornburg Value and Thornburg International

-0.85

Correlation Coefficient

Thornburg Value  Thornburg International

Pay attention - limited upside

The 3 months correlation between Thornburg and Thornburg is -0.85. Overlapping area represents the amount of risk that can be diversified away by holding Thornburg Value Fund and Thornburg International Growth in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Thornburg International 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 International. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Thornburg International has no effect on the direction of Thornburg Value i.e., Thornburg Value and Thornburg International go up and down completely randomly.

Pair Corralation between Thornburg Value and Thornburg International

Assuming the 90 days horizon Thornburg Value Fund is expected to generate 0.96 times more return on investment than Thornburg International. However, Thornburg Value Fund is 1.04 times less risky than Thornburg International. It trades about 0.18 of its potential returns per unit of risk. Thornburg International Growth is currently generating about -0.15 per unit of risk. If you would invest  7,496  in Thornburg Value Fund on September 14, 2024 and sell it today you would earn a total of  925.00  from holding Thornburg Value Fund or generate 12.34% return on investment over 90 days.

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

Thornburg Value Fund  vs.  Thornburg International Growth

Thornburg Value

Risk-Adjusted Performance

13 of 100

Good

Compared to the overall equity markets, risk-adjusted returns on investments in Thornburg Value Fund are ranked lower than 13 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly weak technical and fundamental indicators, Thornburg Value may actually be approaching a critical reversion point that can send shares even higher in January 2025.

Thornburg International

Risk-Adjusted Performance

0 of 100

Very Weak

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

Pair Trading with Thornburg Value and Thornburg International

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

The idea behind Thornburg Value Fund and Thornburg International 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 Portfolio Comparator module to compare the composition, asset allocations and performance of any two portfolios in your account.