Correlation Between Sienna Resources and AGF Management

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

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

Diversification Opportunities for Sienna Resources and AGF Management

-0.5

Correlation Coefficient

Sienna Resources  AGF Management

Very good diversification

The 3 months correlation between Sienna and AGF is -0.5. Overlapping area represents the amount of risk that can be diversified away by holding Sienna Resources and AGF Management Limited in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on AGF Management and Sienna Resources 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 Sienna Resources 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 Sienna Resources i.e., Sienna Resources and AGF Management go up and down completely randomly.

Pair Corralation between Sienna Resources and AGF Management

Assuming the 90 days horizon Sienna Resources is expected to generate 8.1 times more return on investment than AGF Management. However, Sienna Resources is 8.1 times more volatile than AGF Management Limited. It trades about 0.07 of its potential returns per unit of risk. AGF Management Limited is currently generating about 0.16 per unit of risk. If you would invest  4.00  in Sienna Resources on September 28, 2024 and sell it today you would earn a total of  0.00  from holding Sienna Resources or generate 0.0% return on investment over 90 days.

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

Sienna Resources  vs.  AGF Management Limited

Sienna Resources

Risk-Adjusted Performance

5 of 100

Modest

Compared to the overall equity markets, risk-adjusted returns on investments in Sienna Resources are ranked lower than 5 (%) of all global equities and portfolios over the last 90 days. In spite of fairly uncertain basic indicators, Sienna Resources showed solid returns over the last few months and may actually be approaching a breakup point.

AGF Management

Risk-Adjusted Performance

12 of 100

Good

Compared to the overall equity markets, risk-adjusted returns on investments in AGF Management Limited are ranked lower than 12 (%) 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.

Pair Trading with Sienna Resources and AGF Management

The main advantage of trading using opposite Sienna Resources and AGF Management positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Sienna Resources 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 Sienna Resources 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.

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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 Positions Ratings module to determine portfolio positions ratings based on digital equity recommendations. Macroaxis instant position ratings are based on combination of fundamental analysis and risk-adjusted market performance.