Correlation Between AGF Management and MSCI

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

Diversification Opportunities for AGF Management and MSCI

0.35

Correlation Coefficient

AGF Management  MSCI

Weak diversification

The 3 months correlation between AGF and MSCI is 0.35. Overlapping area represents the amount of risk that can be diversified away by holding AGF Management Limited and MSCI Inc in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on MSCI Inc 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 MSCI. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of MSCI Inc has no effect on the direction of AGF Management i.e., AGF Management and MSCI go up and down completely randomly.

Pair Corralation between AGF Management and MSCI

Assuming the 90 days horizon AGF Management Limited is expected to generate 1.39 times more return on investment than MSCI. However, AGF Management is 1.39 times more volatile than MSCI Inc. It trades about 0.25 of its potential returns per unit of risk. MSCI Inc is currently generating about 0.06 per unit of risk. If you would invest  589.00  in AGF Management Limited on April 23, 2025 and sell it today you would earn a total of  201.00  from holding AGF Management Limited or generate 34.13% return on investment over 90 days.

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

AGF Management Limited  vs.  MSCI Inc

AGF Management

Risk-Adjusted Performance

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 basic indicators, AGF Management reported solid returns over the last few months and may actually be approaching a breakup point.

MSCI Inc

Risk-Adjusted Performance

Insignificant

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

Pair Trading with AGF Management and MSCI

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

The idea behind AGF Management Limited and MSCI Inc 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 Equity Valuation module to check real value of public entities based on technical and fundamental data.