Correlation Between ASE Industrial and AGF Management

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Can any of the company-specific risk be diversified away by investing in both ASE Industrial and AGF Management 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 ASE Industrial and AGF Management into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between ASE Industrial Holding and AGF Management Limited, you can compare the effects of market volatilities on ASE Industrial and AGF Management 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 ASE Industrial with a short position of AGF Management. Check out your portfolio center. Please also check ongoing floating volatility patterns of ASE Industrial and AGF Management.

Diversification Opportunities for ASE Industrial and AGF Management

0.71
  Correlation Coefficient

Poor diversification

The 3 months correlation between ASE and AGF is 0.71. Overlapping area represents the amount of risk that can be diversified away by holding ASE Industrial Holding and AGF Management Limited in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on AGF Management and ASE Industrial 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 ASE Industrial Holding are associated (or correlated) with AGF Management. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of AGF Management has no effect on the direction of ASE Industrial i.e., ASE Industrial and AGF Management go up and down completely randomly.

Pair Corralation between ASE Industrial and AGF Management

Considering the 90-day investment horizon ASE Industrial Holding is expected to under-perform the AGF Management. But the stock apears to be less risky and, when comparing its historical volatility, ASE Industrial Holding is 1.48 times less risky than AGF Management. The stock trades about -0.26 of its potential returns per unit of risk. The AGF Management Limited is currently generating about -0.04 of returns per unit of risk over similar time horizon. If you would invest  583.00  in AGF Management Limited on January 23, 2024 and sell it today you would lose (14.00) from holding AGF Management Limited or give up 2.4% of portfolio value over 90 days.
Time Period3 Months [change]
DirectionMoves Together 
StrengthSignificant
Accuracy100.0%
ValuesDaily Returns

ASE Industrial Holding  vs.  AGF Management Limited

 Performance 
       Timeline  
ASE Industrial Holding 

Risk-Adjusted Performance

4 of 100

 
Weak
 
Strong
Insignificant
Compared to the overall equity markets, risk-adjusted returns on investments in ASE Industrial Holding are ranked lower than 4 (%) of all global equities and portfolios over the last 90 days. In spite of fairly unfluctuating basic indicators, ASE Industrial may actually be approaching a critical reversion point that can send shares even higher in May 2024.
AGF Management 

Risk-Adjusted Performance

0 of 100

 
Weak
 
Strong
Very Weak
Over the last 90 days AGF Management Limited has generated negative risk-adjusted returns adding no value to investors with long positions. Despite nearly stable primary indicators, AGF Management is not utilizing all of its potentials. The latest stock price disturbance, may contribute to mid-run losses for the stockholders.

ASE Industrial and AGF Management Volatility Contrast

   Predicted Return Density   
       Returns  

Pair Trading with ASE Industrial and AGF Management

The main advantage of trading using opposite ASE Industrial and AGF Management positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if ASE Industrial position performs unexpectedly, AGF Management 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 AGF Management will offset losses from the drop in AGF Management's long position.
The idea behind ASE Industrial Holding and AGF Management Limited 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 Instant Ratings module to determine any equity ratings based on digital recommendations. Macroaxis instant equity ratings are based on combination of fundamental analysis and risk-adjusted market performance.

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