Correlation Between Ingersoll Rand and AMREP

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

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

Diversification Opportunities for Ingersoll Rand and AMREP

0.89

Correlation Coefficient

Ingersoll Rand  AMREP

Very poor diversification

The 3 months correlation between Ingersoll and AMREP is 0.89. Overlapping area represents the amount of risk that can be diversified away by holding Ingersoll Rand and AMREP in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on AMREP and Ingersoll Rand 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 Ingersoll Rand are associated (or correlated) with AMREP. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of AMREP has no effect on the direction of Ingersoll Rand i.e., Ingersoll Rand and AMREP go up and down completely randomly.

Pair Corralation between Ingersoll Rand and AMREP

Allowing for the 90-day total investment horizon Ingersoll Rand is expected to generate 3.13 times less return on investment than AMREP. But when comparing it to its historical volatility, Ingersoll Rand is 2.72 times less risky than AMREP. It trades about 0.18 of its potential returns per unit of risk. AMREP is currently generating about 0.21 of returns per unit of risk over similar time horizon. If you would invest  2,210  in AMREP on September 1, 2024 and sell it today you would earn a total of  1,394  from holding AMREP or generate 63.08% return on investment over 90 days.

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

Ingersoll Rand  vs.  AMREP

Ingersoll Rand

Risk-Adjusted Performance

14 of 100

Good

Compared to the overall equity markets, risk-adjusted returns on investments in Ingersoll Rand are ranked lower than 14 (%) of all global equities and portfolios over the last 90 days. Even with relatively abnormal basic indicators, Ingersoll Rand reported solid returns over the last few months and may actually be approaching a breakup point.

AMREP

Risk-Adjusted Performance

16 of 100

Solid

Compared to the overall equity markets, risk-adjusted returns on investments in AMREP are ranked lower than 16 (%) of all global equities and portfolios over the last 90 days. Even with relatively weak basic indicators, AMREP reported solid returns over the last few months and may actually be approaching a breakup point.

Pair Trading with Ingersoll Rand and AMREP

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

The idea behind Ingersoll Rand and AMREP 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 Money Managers module to screen money managers from public funds and ETFs managed around the world.