Correlation Between AGF Management and BANK CIMB

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

By analyzing existing cross correlation between AGF Management Limited and BANK CIMB NIAGA, you can compare the effects of market volatilities on AGF Management and BANK CIMB 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 AGF Management with a short position of BANK CIMB. Check out your portfolio center. Please also check ongoing floating volatility patterns of AGF Management and BANK CIMB.

Diversification Opportunities for AGF Management and BANK CIMB

-0.25

Correlation Coefficient

AGF Management  BANK CIMB

Very good diversification

The 3 months correlation between AGF and BANK is -0.25. Overlapping area represents the amount of risk that can be diversified away by holding AGF Management Limited and BANK CIMB NIAGA in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on BANK CIMB NIAGA and AGF Management 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 AGF Management Limited are associated (or correlated) with BANK CIMB. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of BANK CIMB NIAGA has no effect on the direction of AGF Management i.e., AGF Management and BANK CIMB go up and down completely randomly.

Pair Corralation between AGF Management and BANK CIMB

Assuming the 90 days horizon AGF Management Limited is expected to under-perform the BANK CIMB. But the stock apears to be less risky and, when comparing its historical volatility, AGF Management Limited is 1.46 times less risky than BANK CIMB. The stock trades about -0.07 of its potential returns per unit of risk. The BANK CIMB NIAGA is currently generating about -0.03 of returns per unit of risk over similar time horizon. If you would invest  9.80  in BANK CIMB NIAGA on October 10, 2024 and sell it today you would lose (0.25) from holding BANK CIMB NIAGA or give up 2.55% of portfolio value over 90 days.

Time Period	3 Months [change]
Direction	Moves Against
Strength	Insignificant
Accuracy	100.0%
Values	Daily Returns

AGF Management Limited  vs.  BANK CIMB NIAGA

AGF Management

Risk-Adjusted Performance

4 of 100

Insignificant

Compared to the overall equity markets, risk-adjusted returns on investments in AGF Management Limited are ranked lower than 4 (%) of all global equities and portfolios over the last 90 days. Despite nearly stable basic indicators, AGF Management is not utilizing all of its potentials. The current stock price disturbance, may contribute to mid-run losses for the stockholders.

BANK CIMB NIAGA

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days BANK CIMB NIAGA has generated negative risk-adjusted returns adding no value to investors with long positions. In spite of rather sound basic indicators, BANK CIMB is not utilizing all of its potentials. The current stock price tumult, may contribute to shorter-term losses for the shareholders.

Pair Trading with AGF Management and BANK CIMB

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

The idea behind AGF Management Limited and BANK CIMB NIAGA 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 Crypto Correlations module to use cryptocurrency correlation module to diversify your cryptocurrency portfolio across multiple coins.