Correlation Between Summit Materials and Macquarie Group
Can any of the company-specific risk be diversified away by investing in both Summit Materials and Macquarie Group 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 Summit Materials and Macquarie Group into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Summit Materials and Macquarie Group Limited, you can compare the effects of market volatilities on Summit Materials and Macquarie Group 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 Summit Materials with a short position of Macquarie Group. Check out your portfolio center. Please also check ongoing floating volatility patterns of Summit Materials and Macquarie Group.
Diversification Opportunities for Summit Materials and Macquarie Group
-0.17 | Correlation Coefficient |
Good diversification
The 3 months correlation between Summit and Macquarie is -0.17. Overlapping area represents the amount of risk that can be diversified away by holding Summit Materials and Macquarie Group Limited in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Macquarie Group and Summit Materials 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 Summit Materials are associated (or correlated) with Macquarie Group. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Macquarie Group has no effect on the direction of Summit Materials i.e., Summit Materials and Macquarie Group go up and down completely randomly.
Pair Corralation between Summit Materials and Macquarie Group
Assuming the 90 days trading horizon Summit Materials is expected to generate 1.22 times more return on investment than Macquarie Group. However, Summit Materials is 1.22 times more volatile than Macquarie Group Limited. It trades about 0.17 of its potential returns per unit of risk. Macquarie Group Limited is currently generating about -0.06 per unit of risk. If you would invest 4,600 in Summit Materials on October 16, 2024 and sell it today you would earn a total of 450.00 from holding Summit Materials or generate 9.78% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Insignificant |
| Accuracy | 97.37% |
| Values | Daily Returns |
Summit Materials vs. Macquarie Group Limited
Performance |
| Timeline |
| Summit Materials |
| Macquarie Group |
Summit Materials and Macquarie Group Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Summit Materials and Macquarie Group
The main advantage of trading using opposite Summit Materials and Macquarie Group positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Summit Materials position performs unexpectedly, Macquarie Group 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 Macquarie Group will offset losses from the drop in Macquarie Group's long position.| Summit Materials vs. Harmony Gold Mining | Summit Materials vs. FIREWEED METALS P | Summit Materials vs. ARDAGH METAL PACDL 0001 | Summit Materials vs. Plastic Omnium |
| Macquarie Group vs. INSURANCE AUST GRP | Macquarie Group vs. Hyster Yale Materials Handling | Macquarie Group vs. Goodyear Tire Rubber | Macquarie Group vs. Summit Materials |
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 Funds Screener module to find actively-traded funds from around the world traded on over 30 global exchanges.
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