Correlation Between Thornburg Value and Thornburg Global

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

Diversification Opportunities for Thornburg Value and Thornburg Global

0.71

Correlation Coefficient

Thornburg Value  Thornburg Global

Poor diversification

The 3 months correlation between Thornburg and Thornburg is 0.71. Overlapping area represents the amount of risk that can be diversified away by holding Thornburg Value Fund 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 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 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 Value i.e., Thornburg Value and Thornburg Global go up and down completely randomly.

Pair Corralation between Thornburg Value and Thornburg Global

Assuming the 90 days horizon Thornburg Value Fund is expected to under-perform the Thornburg Global. In addition to that, Thornburg Value is 1.4 times more volatile than Thornburg Global Opportunities. It trades about -0.14 of its total potential returns per unit of risk. Thornburg Global Opportunities is currently generating about -0.05 per unit of volatility. If you would invest  3,746  in Thornburg Global Opportunities on February 7, 2024 and sell it today you would lose (32.00) from holding Thornburg Global Opportunities or give up 0.85% 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.  Thornburg Global Opportunities

Thornburg Value

Risk-Adjusted Performance

5 of 100

Modest

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.

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 Value and Thornburg Global

The main advantage of trading using opposite Thornburg Value and Thornburg Global positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Thornburg Value 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 Value Fund 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 Portfolio File Import module to quickly import all of your third-party portfolios from your local drive in csv format.