Correlation Between AGF Management and Brookfield Office

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

By analyzing existing cross correlation between AGF Management Limited and Brookfield Office Properties, you can compare the effects of market volatilities on AGF Management and Brookfield Office 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 AGF Management with a short position of Brookfield Office. Check out your portfolio center. Please also check ongoing floating volatility patterns of AGF Management and Brookfield Office.

Diversification Opportunities for AGF Management and Brookfield Office

0.92

Correlation Coefficient

AGF Management  Brookfield Office

Almost no diversification

The 3 months correlation between AGF and Brookfield is 0.92. Overlapping area represents the amount of risk that can be diversified away by holding AGF Management Limited and Brookfield Office Properties in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Brookfield Office and AGF Management 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 AGF Management Limited are associated (or correlated) with Brookfield Office. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Brookfield Office has no effect on the direction of AGF Management i.e., AGF Management and Brookfield Office go up and down completely randomly.

Pair Corralation between AGF Management and Brookfield Office

Assuming the 90 days trading horizon AGF Management Limited is expected to generate 2.42 times more return on investment than Brookfield Office. However, AGF Management is 2.42 times more volatile than Brookfield Office Properties. It trades about 0.28 of its potential returns per unit of risk. Brookfield Office Properties is currently generating about 0.27 per unit of risk. If you would invest  777.00  in AGF Management Limited on September 5, 2024 and sell it today you would earn a total of  329.00  from holding AGF Management Limited or generate 42.34% return on investment over 90 days.

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

AGF Management Limited  vs.  Brookfield Office Properties

AGF Management

Risk-Adjusted Performance

22 of 100

Solid

Compared to the overall equity markets, risk-adjusted returns on investments in AGF Management Limited are ranked lower than 22 (%) of all global equities and portfolios over the last 90 days. In spite of comparatively unfluctuating basic indicators, AGF Management unveiled solid returns over the last few months and may actually be approaching a breakup point.

Brookfield Office

Risk-Adjusted Performance

20 of 100

Solid

Compared to the overall equity markets, risk-adjusted returns on investments in Brookfield Office Properties are ranked lower than 20 (%) of all global equities and portfolios over the last 90 days. Despite somewhat unsteady basic indicators, Brookfield Office sustained solid returns over the last few months and may actually be approaching a breakup point.

Pair Trading with AGF Management and Brookfield Office

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

The idea behind AGF Management Limited and Brookfield Office Properties 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 Equity Analysis module to research over 250,000 global equities including funds, stocks and ETFs to find investment opportunities.