Correlation Between National Beverage and AGL Energy
Can any of the company-specific risk be diversified away by investing in both National Beverage and AGL Energy 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 National Beverage and AGL Energy into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between National Beverage Corp and AGL Energy Limited, you can compare the effects of market volatilities on National Beverage and AGL Energy 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 National Beverage with a short position of AGL Energy. Check out your portfolio center. Please also check ongoing floating volatility patterns of National Beverage and AGL Energy.
Diversification Opportunities for National Beverage and AGL Energy
0.62 | Correlation Coefficient |
Poor diversification
The 3 months correlation between National and AGL is 0.62. Overlapping area represents the amount of risk that can be diversified away by holding National Beverage Corp and AGL Energy Limited in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on AGL Energy Limited and National Beverage 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 National Beverage Corp are associated (or correlated) with AGL Energy. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of AGL Energy Limited has no effect on the direction of National Beverage i.e., National Beverage and AGL Energy go up and down completely randomly.
Pair Corralation between National Beverage and AGL Energy
Given the investment horizon of 90 days National Beverage is expected to generate 2.68 times less return on investment than AGL Energy. But when comparing it to its historical volatility, National Beverage Corp is 1.05 times less risky than AGL Energy. It trades about 0.02 of its potential returns per unit of risk. AGL Energy Limited is currently generating about 0.06 of returns per unit of risk over similar time horizon. If you would invest 610.00 in AGL Energy Limited on September 4, 2024 and sell it today you would earn a total of 95.00 from holding AGL Energy Limited or generate 15.57% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 57.49% |
| Values | Daily Returns |
National Beverage Corp vs. AGL Energy Limited
Performance |
| Timeline |
| National Beverage Corp |
| AGL Energy Limited |
Risk-Adjusted Performance
0 of 100
Weak | Strong |
Very Weak
National Beverage and AGL Energy Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with National Beverage and AGL Energy
The main advantage of trading using opposite National Beverage and AGL Energy positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if National Beverage position performs unexpectedly, AGL Energy 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 AGL Energy will offset losses from the drop in AGL Energy's long position.| National Beverage vs. Celsius Holdings | National Beverage vs. Monster Beverage Corp | National Beverage vs. Coca Cola Femsa SAB | National Beverage vs. Keurig Dr Pepper |
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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 Aroon Oscillator module to analyze current equity momentum using Aroon Oscillator and other momentum ratios.
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