Correlation Between ANZ Group and Johns Lyng
Can any of the company-specific risk be diversified away by investing in both ANZ Group and Johns Lyng 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 Johns Lyng 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 Johns Lyng Group, you can compare the effects of market volatilities on ANZ Group and Johns Lyng 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 Johns Lyng. Check out your portfolio center. Please also check ongoing floating volatility patterns of ANZ Group and Johns Lyng.
Diversification Opportunities for ANZ Group and Johns Lyng
0.63 | Correlation Coefficient |
Poor diversification
The 3 months correlation between ANZ and Johns is 0.63. Overlapping area represents the amount of risk that can be diversified away by holding ANZ Group Holdings and Johns Lyng Group in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Johns Lyng 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 Johns Lyng. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Johns Lyng Group has no effect on the direction of ANZ Group i.e., ANZ Group and Johns Lyng go up and down completely randomly.
Pair Corralation between ANZ Group and Johns Lyng
Assuming the 90 days trading horizon ANZ Group Holdings is expected to generate 0.11 times more return on investment than Johns Lyng. However, ANZ Group Holdings is 8.81 times less risky than Johns Lyng. It trades about 0.06 of its potential returns per unit of risk. Johns Lyng Group is currently generating about -0.02 per unit of risk. If you would invest 9,558 in ANZ Group Holdings on August 30, 2024 and sell it today you would earn a total of 780.00 from holding ANZ Group Holdings or generate 8.16% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
ANZ Group Holdings vs. Johns Lyng Group
Performance |
| Timeline |
| ANZ Group Holdings |
| Johns Lyng Group |
ANZ Group and Johns Lyng Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with ANZ Group and Johns Lyng
The main advantage of trading using opposite ANZ Group and Johns Lyng positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if ANZ Group position performs unexpectedly, Johns Lyng 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 Johns Lyng will offset losses from the drop in Johns Lyng's long position.| ANZ Group vs. Ramsay Health Care | ANZ Group vs. BTC Health Limited | ANZ Group vs. Aurelia Metals | ANZ Group vs. Stelar Metals |
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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 Portfolio Center module to all portfolio management and optimization tools to improve performance of your portfolios.
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