Correlation Between Thornburg Value and Thornburg Intermediate

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

Diversification Opportunities for Thornburg Value and Thornburg Intermediate

-0.17

Correlation Coefficient

Thornburg Value  Thornburg Intermediate

Good diversification

The 3 months correlation between Thornburg and Thornburg is -0.17. Overlapping area represents the amount of risk that can be diversified away by holding Thornburg Value Fund and Thornburg Intermediate Municip in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Thornburg Intermediate 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 Intermediate. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Thornburg Intermediate has no effect on the direction of Thornburg Value i.e., Thornburg Value and Thornburg Intermediate go up and down completely randomly.

Pair Corralation between Thornburg Value and Thornburg Intermediate

Assuming the 90 days horizon Thornburg Value Fund is expected to generate 5.49 times more return on investment than Thornburg Intermediate. However, Thornburg Value is 5.49 times more volatile than Thornburg Intermediate Municipal. It trades about 0.23 of its potential returns per unit of risk. Thornburg Intermediate Municipal is currently generating about 0.04 per unit of risk. If you would invest  7,687  in Thornburg Value Fund on September 5, 2024 and sell it today you would earn a total of  1,258  from holding Thornburg Value Fund or generate 16.37% return on investment over 90 days.

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

Thornburg Value Fund  vs.  Thornburg Intermediate Municip

Thornburg Value

Risk-Adjusted Performance

17 of 100

Solid

Compared to the overall equity markets, risk-adjusted returns on investments in Thornburg Value Fund are ranked lower than 17 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly weak basic indicators, Thornburg Value showed solid returns over the last few months and may actually be approaching a breakup point.

Thornburg Intermediate

Risk-Adjusted Performance

2 of 100

Insignificant

Compared to the overall equity markets, risk-adjusted returns on investments in Thornburg Intermediate Municipal are ranked lower than 2 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly strong basic indicators, Thornburg Intermediate 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 Intermediate

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

The idea behind Thornburg Value Fund and Thornburg Intermediate Municipal 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 Competition Analyzer module to analyze and compare many basic indicators for a group of related or unrelated entities.