Correlation Between AGFiQ Market and NBI Liquid
Can any of the company-specific risk be diversified away by investing in both AGFiQ Market and NBI Liquid 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 AGFiQ Market and NBI Liquid into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between AGFiQ Market Neutral and NBI Liquid Alternatives, you can compare the effects of market volatilities on AGFiQ Market and NBI Liquid 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 AGFiQ Market with a short position of NBI Liquid. Check out your portfolio center. Please also check ongoing floating volatility patterns of AGFiQ Market and NBI Liquid.
Diversification Opportunities for AGFiQ Market and NBI Liquid
0.75 | Correlation Coefficient |
Poor diversification
The 3 months correlation between AGFiQ and NBI is 0.75. Overlapping area represents the amount of risk that can be diversified away by holding AGFiQ Market Neutral and NBI Liquid Alternatives in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on NBI Liquid Alternatives and AGFiQ Market 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 AGFiQ Market Neutral are associated (or correlated) with NBI Liquid. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of NBI Liquid Alternatives has no effect on the direction of AGFiQ Market i.e., AGFiQ Market and NBI Liquid go up and down completely randomly.
Pair Corralation between AGFiQ Market and NBI Liquid
Assuming the 90 days trading horizon AGFiQ Market Neutral is expected to under-perform the NBI Liquid. In addition to that, AGFiQ Market is 1.18 times more volatile than NBI Liquid Alternatives. It trades about -0.23 of its total potential returns per unit of risk. NBI Liquid Alternatives is currently generating about -0.21 per unit of volatility. If you would invest 2,274 in NBI Liquid Alternatives on September 3, 2024 and sell it today you would lose (70.00) from holding NBI Liquid Alternatives or give up 3.08% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
AGFiQ Market Neutral vs. NBI Liquid Alternatives
Performance |
| Timeline |
| AGFiQ Market Neutral |
| NBI Liquid Alternatives |
AGFiQ Market and NBI Liquid Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with AGFiQ Market and NBI Liquid
The main advantage of trading using opposite AGFiQ Market and NBI Liquid positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if AGFiQ Market position performs unexpectedly, NBI Liquid 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 NBI Liquid will offset losses from the drop in NBI Liquid's long position.| AGFiQ Market vs. Desjardins Alt LongShort | AGFiQ Market vs. BMO Tactical Dividend | AGFiQ Market vs. NBI Liquid Alternatives | AGFiQ Market vs. BMO Premium Yield |
| NBI Liquid vs. AGFiQ Market Neutral | NBI Liquid vs. Picton Mahoney Fortified | NBI Liquid vs. Purpose Diversified Real | NBI Liquid vs. Desjardins Alt LongShort |
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 Performance Analysis module to check effects of mean-variance optimization against your current asset allocation.
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