Correlation Between Aegon NV and Alfen Beheer

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

By analyzing existing cross correlation between Aegon NV and Alfen Beheer BV, you can compare the effects of market volatilities on Aegon NV and Alfen Beheer 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 Aegon NV with a short position of Alfen Beheer. Check out your portfolio center. Please also check ongoing floating volatility patterns of Aegon NV and Alfen Beheer.

Diversification Opportunities for Aegon NV and Alfen Beheer

-0.4

Correlation Coefficient

Aegon NV  Alfen Beheer

Very good diversification

The 3 months correlation between Aegon and Alfen is -0.4. Overlapping area represents the amount of risk that can be diversified away by holding Aegon NV and Alfen Beheer BV in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Alfen Beheer BV and Aegon NV 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 Aegon NV are associated (or correlated) with Alfen Beheer. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Alfen Beheer BV has no effect on the direction of Aegon NV i.e., Aegon NV and Alfen Beheer go up and down completely randomly.

Pair Corralation between Aegon NV and Alfen Beheer

Assuming the 90 days trading horizon Aegon NV is expected to generate 0.35 times more return on investment than Alfen Beheer. However, Aegon NV is 2.85 times less risky than Alfen Beheer. It trades about 0.01 of its potential returns per unit of risk. Alfen Beheer BV is currently generating about -0.01 per unit of risk. If you would invest  563.00  in Aegon NV on September 19, 2024 and sell it today you would lose (1.00) from holding Aegon NV or give up 0.18% of portfolio value over 90 days.

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

Aegon NV  vs.  Alfen Beheer BV

Aegon NV

Risk-Adjusted Performance

0 of 100

Weak

Over the last 90 days Aegon NV has generated negative risk-adjusted returns adding no value to investors with long positions. In spite of comparatively stable basic indicators, Aegon NV is not utilizing all of its potentials. The newest stock price uproar, may contribute to short-horizon losses for the private investors.

Alfen Beheer BV

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Alfen Beheer BV has generated negative risk-adjusted returns adding no value to investors with long positions. Despite somewhat strong basic indicators, Alfen Beheer is not utilizing all of its potentials. The newest stock price disturbance, may contribute to short-term losses for the investors.

Pair Trading with Aegon NV and Alfen Beheer

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

The idea behind Aegon NV and Alfen Beheer BV 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.

Check out your portfolio center.

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 Volatility module to check portfolio volatility and analyze historical return density to properly model market risk.