Correlation Between Bank Central and AGF Management

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

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

Diversification Opportunities for Bank Central and AGF Management

-0.43

Correlation Coefficient

Bank Central  AGF Management

Very good diversification

The 3 months correlation between Bank and AGF is -0.43. Overlapping area represents the amount of risk that can be diversified away by holding Bank Central Asia and AGF Management Limited in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on AGF Management and Bank Central 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 Bank Central Asia are associated (or correlated) with AGF Management. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of AGF Management has no effect on the direction of Bank Central i.e., Bank Central and AGF Management go up and down completely randomly.

Pair Corralation between Bank Central and AGF Management

Assuming the 90 days horizon Bank Central Asia is expected to under-perform the AGF Management. But the pink sheet apears to be less risky and, when comparing its historical volatility, Bank Central Asia is 1.31 times less risky than AGF Management. The pink sheet trades about -0.04 of its potential returns per unit of risk. The AGF Management Limited is currently generating about 0.25 of returns per unit of risk over similar time horizon. If you would invest  582.00  in AGF Management Limited on September 2, 2024 and sell it today you would earn a total of  216.00  from holding AGF Management Limited or generate 37.11% return on investment over 90 days.

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

Bank Central Asia  vs.  AGF Management Limited

Bank Central Asia

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Bank Central Asia has generated negative risk-adjusted returns adding no value to investors with long positions. In spite of fairly strong basic indicators, Bank Central is not utilizing all of its potentials. The current stock price disturbance, may contribute to short-term losses for the investors.

AGF Management

Risk-Adjusted Performance

19 of 100

Solid

Compared to the overall equity markets, risk-adjusted returns on investments in AGF Management Limited are ranked lower than 19 (%) of all global equities and portfolios over the last 90 days. Despite nearly fragile primary indicators, AGF Management reported solid returns over the last few months and may actually be approaching a breakup point.

Pair Trading with Bank Central and AGF Management

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

The idea behind Bank Central Asia and AGF Management Limited 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.