Correlation Between Federal Agricultural and Agenus

Can any of the company-specific risk be diversified away by investing in both Federal Agricultural and Agenus 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 Federal Agricultural and Agenus into the same portfolio, which is an essential part of the fundamental portfolio management process.

By analyzing existing cross correlation between Federal Agricultural Mortgage and Agenus Inc, you can compare the effects of market volatilities on Federal Agricultural and Agenus 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 Federal Agricultural with a short position of Agenus. Check out your portfolio center. Please also check ongoing floating volatility patterns of Federal Agricultural and Agenus.

Diversification Opportunities for Federal Agricultural and Agenus

-0.24

Correlation Coefficient

Federal Agricultural  Agenus

Very good diversification

The 3 months correlation between Federal and Agenus is -0.24. Overlapping area represents the amount of risk that can be diversified away by holding Federal Agricultural Mortgage and Agenus Inc in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Agenus Inc and Federal Agricultural 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 Federal Agricultural Mortgage are associated (or correlated) with Agenus. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Agenus Inc has no effect on the direction of Federal Agricultural i.e., Federal Agricultural and Agenus go up and down completely randomly.

Pair Corralation between Federal Agricultural and Agenus

Assuming the 90 days horizon Federal Agricultural Mortgage is expected to generate 0.72 times more return on investment than Agenus. However, Federal Agricultural Mortgage is 1.39 times less risky than Agenus. It trades about 0.0 of its potential returns per unit of risk. Agenus Inc is currently generating about -0.13 per unit of risk. If you would invest  16,663  in Federal Agricultural Mortgage on February 19, 2024 and sell it today you would lose (263.00) from holding Federal Agricultural Mortgage or give up 1.58% of portfolio value over 90 days.

Time Period	3 Months [change]
Direction	Moves Against
Strength	Insignificant
Accuracy	98.41%
Values	Daily Returns

Federal Agricultural Mortgage  vs.  Agenus Inc

Federal Agricultural

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Federal Agricultural Mortgage has generated negative risk-adjusted returns adding no value to investors with long positions. Despite nearly stable basic indicators, Federal Agricultural is not utilizing all of its potentials. The current stock price disturbance, may contribute to mid-run losses for the stockholders.

Agenus Inc

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Agenus Inc has generated negative risk-adjusted returns adding no value to investors with long positions. Despite fragile performance in the last few months, the Stock's basic indicators remain nearly stable which may send shares a bit higher in June 2024. The current disturbance may also be a sign of long-run up-swing for the company stockholders.

Pair Trading with Federal Agricultural and Agenus

The main advantage of trading using opposite Federal Agricultural and Agenus positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Federal Agricultural position performs unexpectedly, Agenus 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 Agenus will offset losses from the drop in Agenus' long position.

The idea behind Federal Agricultural Mortgage and Agenus Inc pairs trading is to make the combined position market-neutral, meaning the overall market's direction will not affect its win or loss (or potential downside or upside). This can be achieved by designing a pairs trade with two highly correlated stocks or equities that operate in a similar space or sector, making it possible to obtain profits through simple and relatively low-risk investment.

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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 Idea Analyzer module to analyze all characteristics, volatility and risk-adjusted return of Macroaxis ideas.