Correlation Between ANZ Group and Autosports
Can any of the company-specific risk be diversified away by investing in both ANZ Group and Autosports 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 ANZ Group and Autosports into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between ANZ Group Holdings and Autosports Group, you can compare the effects of market volatilities on ANZ Group and Autosports 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 ANZ Group with a short position of Autosports. Check out your portfolio center. Please also check ongoing floating volatility patterns of ANZ Group and Autosports.
Diversification Opportunities for ANZ Group and Autosports
0.5 | Correlation Coefficient |
Very weak diversification
The 3 months correlation between ANZ and Autosports is 0.5. Overlapping area represents the amount of risk that can be diversified away by holding ANZ Group Holdings and Autosports Group in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Autosports Group and ANZ 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 ANZ Group Holdings are associated (or correlated) with Autosports. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Autosports Group has no effect on the direction of ANZ Group i.e., ANZ Group and Autosports go up and down completely randomly.
Pair Corralation between ANZ Group and Autosports
Assuming the 90 days trading horizon ANZ Group Holdings is expected to generate 0.27 times more return on investment than Autosports. However, ANZ Group Holdings is 3.7 times less risky than Autosports. It trades about 0.03 of its potential returns per unit of risk. Autosports Group is currently generating about -0.04 per unit of risk. If you would invest 10,102 in ANZ Group Holdings on September 25, 2024 and sell it today you would earn a total of 296.00 from holding ANZ Group Holdings or generate 2.93% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
ANZ Group Holdings vs. Autosports Group
Performance |
| Timeline |
| ANZ Group Holdings |
| Autosports Group |
ANZ Group and Autosports Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with ANZ Group and Autosports
The main advantage of trading using opposite ANZ Group and Autosports positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if ANZ Group position performs unexpectedly, Autosports 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 Autosports will offset losses from the drop in Autosports' long position.| ANZ Group vs. Westpac Banking | ANZ Group vs. Credit Clear | ANZ Group vs. Bravura Solutions | ANZ Group vs. Brainchip Holdings |
| Autosports vs. MetalsGrove Mining | Autosports vs. Computershare | Autosports vs. Epsilon Healthcare | Autosports vs. Ramsay Health Care |
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 Sectors module to list of equity sectors categorizing publicly traded companies based on their primary business activities.
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