Correlation Between Thornburg Value and Thornburg Low

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

Diversification Opportunities for Thornburg Value and Thornburg Low

-0.64

Correlation Coefficient

Thornburg Value  Thornburg Low

Excellent diversification

The 3 months correlation between Thornburg and Thornburg is -0.64. Overlapping area represents the amount of risk that can be diversified away by holding Thornburg Value Fund and Thornburg Low Duration in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Thornburg Low Duration 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 Low. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Thornburg Low Duration has no effect on the direction of Thornburg Value i.e., Thornburg Value and Thornburg Low go up and down completely randomly.

Pair Corralation between Thornburg Value and Thornburg Low

Assuming the 90 days horizon Thornburg Value Fund is expected to under-perform the Thornburg Low. In addition to that, Thornburg Value is 11.86 times more volatile than Thornburg Low Duration. It trades about -0.2 of its total potential returns per unit of risk. Thornburg Low Duration is currently generating about 0.19 per unit of volatility. If you would invest  1,207  in Thornburg Low Duration on December 4, 2024 and sell it today you would earn a total of  14.00  from holding Thornburg Low Duration or generate 1.16% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Against
Strength	Weak
Accuracy	98.33%
Values	Daily Returns

Thornburg Value Fund  vs.  Thornburg Low Duration

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 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.

Thornburg Low Duration

Risk-Adjusted Performance

Good

Compared to the overall equity markets, risk-adjusted returns on investments in Thornburg Low Duration are ranked lower than 14 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly strong basic indicators, Thornburg Low 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 Thornburg Low

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

The idea behind Thornburg Value Fund and Thornburg Low Duration 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 AI Portfolio Architect module to use AI to generate optimal portfolios and find profitable investment opportunities.