Correlation Between AGF Management and Azimut Holding

Can any of the company-specific risk be diversified away by investing in both AGF Management and Azimut Holding 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 Azimut Holding 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 Azimut Holding SpA, you can compare the effects of market volatilities on AGF Management and Azimut Holding 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 Azimut Holding. Check out your portfolio center. Please also check ongoing floating volatility patterns of AGF Management and Azimut Holding.

Diversification Opportunities for AGF Management and Azimut Holding

0.52

Correlation Coefficient

AGF Management  Azimut Holding

Very weak diversification

The 3 months correlation between AGF and Azimut is 0.52. Overlapping area represents the amount of risk that can be diversified away by holding AGF Management Limited and Azimut Holding SpA in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Azimut Holding SpA 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 Azimut Holding. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Azimut Holding SpA has no effect on the direction of AGF Management i.e., AGF Management and Azimut Holding go up and down completely randomly.

Pair Corralation between AGF Management and Azimut Holding

Assuming the 90 days horizon AGF Management Limited is expected to generate 0.69 times more return on investment than Azimut Holding. However, AGF Management Limited is 1.46 times less risky than Azimut Holding. It trades about 0.25 of its potential returns per unit of risk. Azimut Holding SpA is currently generating about 0.0 per unit of risk. If you would invest  582.00  in AGF Management Limited on August 31, 2024 and sell it today you would earn a total of  212.00  from holding AGF Management Limited or generate 36.43% return on investment over 90 days.

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

AGF Management Limited  vs.  Azimut Holding SpA

AGF Management

Risk-Adjusted Performance

19 of 100

Solid

Compared to the overall equity markets, risk-adjusted returns on investments in AGF Management Limited are ranked lower than 19 (%) of all global equities and portfolios over the last 90 days. Despite nearly fragile primary indicators, AGF Management reported solid returns over the last few months and may actually be approaching a breakup point.

Azimut Holding SpA

Risk-Adjusted Performance

0 of 100

Very Weak

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

Pair Trading with AGF Management and Azimut Holding

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

The idea behind AGF Management Limited and Azimut Holding SpA 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 Price Exposure Probability module to analyze equity upside and downside potential for a given time horizon across multiple markets.