Correlation Between ANZ Group and Macquarie Group
Can any of the company-specific risk be diversified away by investing in both ANZ Group 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 ANZ Group and Macquarie Group 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 Macquarie Group Ltd, you can compare the effects of market volatilities on ANZ Group 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 ANZ Group with a short position of Macquarie Group. Check out your portfolio center. Please also check ongoing floating volatility patterns of ANZ Group and Macquarie Group.
Diversification Opportunities for ANZ Group and Macquarie Group
0.6 | Correlation Coefficient |
Poor diversification
The 3 months correlation between ANZ and Macquarie is 0.6. Overlapping area represents the amount of risk that can be diversified away by holding ANZ Group Holdings and Macquarie Group Ltd in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Macquarie 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 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 ANZ Group i.e., ANZ Group and Macquarie Group go up and down completely randomly.
Pair Corralation between ANZ Group and Macquarie Group
Assuming the 90 days trading horizon ANZ Group Holdings is expected to generate 0.55 times more return on investment than Macquarie Group. However, ANZ Group Holdings is 1.83 times less risky than Macquarie Group. It trades about -0.06 of its potential returns per unit of risk. Macquarie Group Ltd is currently generating about -0.05 per unit of risk. If you would invest 10,366 in ANZ Group Holdings on August 24, 2024 and sell it today you would lose (29.00) from holding ANZ Group Holdings or give up 0.28% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
ANZ Group Holdings vs. Macquarie Group Ltd
Performance |
| Timeline |
| ANZ Group Holdings |
| Macquarie Group |
ANZ Group and Macquarie Group Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with ANZ Group and Macquarie Group
The main advantage of trading using opposite ANZ Group and Macquarie Group positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if ANZ Group 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.| ANZ Group vs. ACDC Metals | ANZ Group vs. Sky Metals | ANZ Group vs. Aurelia Metals | ANZ Group vs. Patriot Battery Metals |
| Macquarie Group vs. AMP | Macquarie Group vs. Regal Investment | Macquarie Group vs. REGAL ASIAN INVESTMENTS |
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 File Import module to quickly import all of your third-party portfolios from your local drive in csv format.
Other Complementary Tools
| Price Transformation Use Price Transformation models to analyze the depth of different equity instruments across global markets | |
| Piotroski F Score Get Piotroski F Score based on the binary analysis strategy of nine different fundamentals | |
| Sign In To Macroaxis Sign in to explore Macroaxis' wealth optimization platform and fintech modules | |
| Portfolio Analyzer Portfolio analysis module that provides access to portfolio diagnostics and optimization engine | |
| Global Correlations Find global opportunities by holding instruments from different markets |