Correlation Between AGF Management and PT Bank
Can any of the company-specific risk be diversified away by investing in both AGF Management and PT Bank 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 PT Bank 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 PT Bank Rakyat, you can compare the effects of market volatilities on AGF Management and PT Bank 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 PT Bank. Check out your portfolio center. Please also check ongoing floating volatility patterns of AGF Management and PT Bank.
Diversification Opportunities for AGF Management and PT Bank
0.27 | Correlation Coefficient |
Modest diversification
The 3 months correlation between AGF and BYRA is 0.27. Overlapping area represents the amount of risk that can be diversified away by holding AGF Management Limited and PT Bank Rakyat in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on PT Bank Rakyat 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 PT Bank. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of PT Bank Rakyat has no effect on the direction of AGF Management i.e., AGF Management and PT Bank go up and down completely randomly.
Pair Corralation between AGF Management and PT Bank
Assuming the 90 days horizon AGF Management Limited is expected to generate 0.68 times more return on investment than PT Bank. However, AGF Management Limited is 1.46 times less risky than PT Bank. It trades about 0.05 of its potential returns per unit of risk. PT Bank Rakyat is currently generating about 0.02 per unit of risk. If you would invest 730.00 in AGF Management Limited on November 27, 2024 and sell it today you would earn a total of 15.00 from holding AGF Management Limited or generate 2.05% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
AGF Management Limited vs. PT Bank Rakyat
Performance |
| Timeline |
| AGF Management |
| PT Bank Rakyat |
AGF Management and PT Bank Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with AGF Management and PT Bank
The main advantage of trading using opposite AGF Management and PT Bank positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if AGF Management position performs unexpectedly, PT Bank 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 PT Bank will offset losses from the drop in PT Bank's long position.| AGF Management vs. Stag Industrial | AGF Management vs. X FAB Silicon Foundries | AGF Management vs. Kingdee International Software | AGF Management vs. Check Point Software |
| PT Bank vs. INVITATION HOMES DL | PT Bank vs. ANGLO ASIAN MINING | PT Bank vs. OFFICE DEPOT | PT Bank vs. DFS Furniture PLC |
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 Dashboard module to portfolio dashboard that provides centralized access to all your investments.
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