Correlation Between Thornburg International and Thornburg Global

Can any of the company-specific risk be diversified away by investing in both Thornburg International and Thornburg 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 International and Thornburg Global into the same portfolio, which is an essential part of the fundamental portfolio management process.

By analyzing existing cross correlation between Thornburg International Value and Thornburg Global Opportunities, you can compare the effects of market volatilities on Thornburg International and Thornburg 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 International with a short position of Thornburg Global. Check out your portfolio center. Please also check ongoing floating volatility patterns of Thornburg International and Thornburg Global.

Diversification Opportunities for Thornburg International and Thornburg Global

0.85

Correlation Coefficient

Thornburg International  Thornburg Global

Very poor diversification

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 International Value and Thornburg Global Opportunities in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Thornburg Global Opp and Thornburg International 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 International Value are associated (or correlated) with Thornburg Global. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Thornburg Global Opp has no effect on the direction of Thornburg International i.e., Thornburg International and Thornburg Global go up and down completely randomly.

Pair Corralation between Thornburg International and Thornburg Global

Assuming the 90 days horizon Thornburg International Value is expected to generate 0.9 times more return on investment than Thornburg Global. However, Thornburg International Value is 1.11 times less risky than Thornburg Global. It trades about 0.03 of its potential returns per unit of risk. Thornburg Global Opportunities is currently generating about -0.05 per unit of risk. If you would invest  2,589  in Thornburg International Value on February 7, 2024 and sell it today you would earn a total of  9.00  from holding Thornburg International Value or generate 0.35% return on investment over 90 days.

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

Thornburg International Value  vs.  Thornburg Global Opportunities

Thornburg International

Risk-Adjusted Performance

16 of 100

Solid

Compared to the overall equity markets, risk-adjusted returns on investments in Thornburg International Value are ranked lower than 16 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly weak basic indicators, Thornburg International may actually be approaching a critical reversion point that can send shares even higher in June 2024.

Thornburg Global Opp

Risk-Adjusted Performance

15 of 100

Good

Compared to the overall equity markets, risk-adjusted returns on investments in Thornburg Global Opportunities are ranked lower than 15 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly weak technical and fundamental indicators, Thornburg Global may actually be approaching a critical reversion point that can send shares even higher in June 2024.

Pair Trading with Thornburg International and Thornburg Global

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

The idea behind Thornburg International Value and Thornburg Global Opportunities 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 Price Ceiling Movement module to calculate and plot Price Ceiling Movement for different equity instruments.