Correlation Between Komatsu and AGCO
Can any of the company-specific risk be diversified away by investing in both Komatsu and AGCO 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 Komatsu and AGCO into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Komatsu and AGCO Corporation, you can compare the effects of market volatilities on Komatsu and AGCO 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 Komatsu with a short position of AGCO. Check out your portfolio center. Please also check ongoing floating volatility patterns of Komatsu and AGCO.
Diversification Opportunities for Komatsu and AGCO
Weak diversification
The 3 months correlation between Komatsu and AGCO is 0.31. Overlapping area represents the amount of risk that can be diversified away by holding Komatsu and AGCO Corp. in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on AGCO and Komatsu 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 Komatsu are associated (or correlated) with AGCO. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of AGCO has no effect on the direction of Komatsu i.e., Komatsu and AGCO go up and down completely randomly.
Pair Corralation between Komatsu and AGCO
Assuming the 90 days horizon Komatsu is expected to generate 1.01 times more return on investment than AGCO. However, Komatsu is 1.01 times more volatile than AGCO Corporation. It trades about 0.08 of its potential returns per unit of risk. AGCO Corporation is currently generating about -0.04 per unit of risk. If you would invest 2,729 in Komatsu on August 27, 2024 and sell it today you would earn a total of 104.00 from holding Komatsu or generate 3.81% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
Komatsu vs. AGCO Corp.
Performance |
| Timeline |
| Komatsu |
| AGCO |
Komatsu and AGCO Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Komatsu and AGCO
The main advantage of trading using opposite Komatsu and AGCO positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Komatsu position performs unexpectedly, AGCO 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 AGCO will offset losses from the drop in AGCO's long position.| Komatsu vs. Gencor Industries | Komatsu vs. Rev Group | Komatsu vs. Manitowoc | Komatsu vs. Columbus McKinnon |
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 Equity Forecasting module to use basic forecasting models to generate price predictions and determine price momentum.
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