Correlation Between Sprott Physical and AGF Management

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

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

Diversification Opportunities for Sprott Physical and AGF Management

-0.11

Correlation Coefficient

Sprott Physical  AGF Management

Good diversification

The 3 months correlation between Sprott and AGF is -0.11. Overlapping area represents the amount of risk that can be diversified away by holding Sprott Physical Gold and AGF Management Limited in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on AGF Management and Sprott Physical 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 Sprott Physical Gold 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 Sprott Physical i.e., Sprott Physical and AGF Management go up and down completely randomly.

Pair Corralation between Sprott Physical and AGF Management

Assuming the 90 days trading horizon Sprott Physical Gold is expected to generate 0.42 times more return on investment than AGF Management. However, Sprott Physical Gold is 2.36 times less risky than AGF Management. It trades about 0.32 of its potential returns per unit of risk. AGF Management Limited is currently generating about -0.03 per unit of risk. If you would invest  2,873  in Sprott Physical Gold on December 30, 2024 and sell it today you would earn a total of  540.00  from holding Sprott Physical Gold or generate 18.8% return on investment over 90 days.

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

Sprott Physical Gold  vs.  AGF Management Limited

Sprott Physical Gold

Risk-Adjusted Performance

Solid

Compared to the overall equity markets, risk-adjusted returns on investments in Sprott Physical Gold are ranked lower than 25 (%) of all global equities and portfolios over the last 90 days. In spite of very unfluctuating basic indicators, Sprott Physical displayed solid returns over the last few months and may actually be approaching a breakup point.

AGF Management

Risk-Adjusted Performance

Very Weak

Over the last 90 days AGF Management Limited has generated negative risk-adjusted returns adding no value to investors with long positions. In spite of comparatively stable basic indicators, AGF Management is not utilizing all of its potentials. The recent stock price uproar, may contribute to short-horizon losses for the private investors.

Pair Trading with Sprott Physical and AGF Management

The main advantage of trading using opposite Sprott Physical and AGF Management positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Sprott Physical 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 Sprott Physical Gold 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 Portfolio Suggestion module to get suggestions outside of your existing asset allocation including your own model portfolios.