Correlation Between Macquarie Group and SP Global
Can any of the company-specific risk be diversified away by investing in both Macquarie Group and SP Global 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 Macquarie Group and SP Global into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Macquarie Group Limited and SP Global, you can compare the effects of market volatilities on Macquarie Group and SP Global 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 Macquarie Group with a short position of SP Global. Check out your portfolio center. Please also check ongoing floating volatility patterns of Macquarie Group and SP Global.
Diversification Opportunities for Macquarie Group and SP Global
0.63 | Correlation Coefficient |
Poor diversification
The 3 months correlation between Macquarie and MHL is 0.63. Overlapping area represents the amount of risk that can be diversified away by holding Macquarie Group Limited and SP Global in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on SP Global and Macquarie Group 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 Macquarie Group Limited are associated (or correlated) with SP Global. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of SP Global has no effect on the direction of Macquarie Group i.e., Macquarie Group and SP Global go up and down completely randomly.
Pair Corralation between Macquarie Group and SP Global
Assuming the 90 days horizon Macquarie Group Limited is expected to under-perform the SP Global. But the stock apears to be less risky and, when comparing its historical volatility, Macquarie Group Limited is 1.05 times less risky than SP Global. The stock trades about -0.34 of its potential returns per unit of risk. The SP Global is currently generating about -0.08 of returns per unit of risk over similar time horizon. If you would invest 49,275 in SP Global on September 28, 2024 and sell it today you would lose (1,050) from holding SP Global or give up 2.13% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Macquarie Group Limited vs. SP Global
Performance |
| Timeline |
| Macquarie Group |
| SP Global |
Macquarie Group and SP Global Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Macquarie Group and SP Global
The main advantage of trading using opposite Macquarie Group and SP Global positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Macquarie Group position performs unexpectedly, SP Global 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 SP Global will offset losses from the drop in SP Global's long position.| Macquarie Group vs. Morgan Stanley | Macquarie Group vs. Morgan Stanley | Macquarie Group vs. SP Global | Macquarie Group vs. Moodys |
Check out your portfolio center.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 Search module to search for actively traded equities including funds and ETFs from over 30 global markets.
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