Correlation Between AGFA Gevaert and Tessenderlo
Can any of the company-specific risk be diversified away by investing in both AGFA Gevaert and Tessenderlo 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 AGFA Gevaert and Tessenderlo into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between AGFA Gevaert NV and Tessenderlo, you can compare the effects of market volatilities on AGFA Gevaert and Tessenderlo 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 AGFA Gevaert with a short position of Tessenderlo. Check out your portfolio center. Please also check ongoing floating volatility patterns of AGFA Gevaert and Tessenderlo.
Diversification Opportunities for AGFA Gevaert and Tessenderlo
0.73 | Correlation Coefficient |
Poor diversification
The 3 months correlation between AGFA and Tessenderlo is 0.73. Overlapping area represents the amount of risk that can be diversified away by holding AGFA Gevaert NV and Tessenderlo in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Tessenderlo and AGFA Gevaert 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 AGFA Gevaert NV are associated (or correlated) with Tessenderlo. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Tessenderlo has no effect on the direction of AGFA Gevaert i.e., AGFA Gevaert and Tessenderlo go up and down completely randomly.
Pair Corralation between AGFA Gevaert and Tessenderlo
Assuming the 90 days trading horizon AGFA Gevaert NV is expected to under-perform the Tessenderlo. In addition to that, AGFA Gevaert is 2.14 times more volatile than Tessenderlo. It trades about -0.09 of its total potential returns per unit of risk. Tessenderlo is currently generating about -0.05 per unit of volatility. If you would invest 3,121 in Tessenderlo on October 25, 2024 and sell it today you would lose (1,011) from holding Tessenderlo or give up 32.39% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
AGFA Gevaert NV vs. Tessenderlo
Performance |
| Timeline |
| AGFA Gevaert NV |
| Tessenderlo |
AGFA Gevaert and Tessenderlo Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with AGFA Gevaert and Tessenderlo
The main advantage of trading using opposite AGFA Gevaert and Tessenderlo positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if AGFA Gevaert position performs unexpectedly, Tessenderlo 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 Tessenderlo will offset losses from the drop in Tessenderlo's long position.| AGFA Gevaert vs. NV Bekaert SA | AGFA Gevaert vs. Barco NV | AGFA Gevaert vs. EVS Broadcast Equipment | AGFA Gevaert vs. Nyrstar NV |
| Tessenderlo vs. Ackermans Van Haaren | Tessenderlo vs. NV Bekaert SA | Tessenderlo vs. Groep Brussel Lambert | Tessenderlo vs. Tubize Fin |
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 Money Flow Index module to determine momentum by analyzing Money Flow Index and other technical indicators.
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