Correlation Between AUB and Macquarie
Can any of the company-specific risk be diversified away by investing in both AUB and Macquarie 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 AUB and Macquarie into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between AUB Group and Macquarie Group, you can compare the effects of market volatilities on AUB and Macquarie 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 AUB with a short position of Macquarie. Check out your portfolio center. Please also check ongoing floating volatility patterns of AUB and Macquarie.
Diversification Opportunities for AUB and Macquarie
Weak diversification
The 3 months correlation between AUB and Macquarie is 0.33. Overlapping area represents the amount of risk that can be diversified away by holding AUB Group and Macquarie Group in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Macquarie Group and AUB 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 AUB Group are associated (or correlated) with Macquarie. 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 AUB i.e., AUB and Macquarie go up and down completely randomly.
Pair Corralation between AUB and Macquarie
Assuming the 90 days trading horizon AUB Group is expected to generate 0.98 times more return on investment than Macquarie. However, AUB Group is 1.02 times less risky than Macquarie. It trades about 0.06 of its potential returns per unit of risk. Macquarie Group is currently generating about 0.03 per unit of risk. If you would invest 3,188 in AUB Group on August 30, 2024 and sell it today you would earn a total of 57.00 from holding AUB Group or generate 1.79% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
AUB Group vs. Macquarie Group
Performance |
| Timeline |
| AUB Group |
| Macquarie Group |
AUB and Macquarie Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with AUB and Macquarie
The main advantage of trading using opposite AUB and Macquarie positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if AUB position performs unexpectedly, Macquarie 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 will offset losses from the drop in Macquarie's long position.| AUB vs. AiMedia Technologies | AUB vs. Diversified United Investment | AUB vs. Microequities Asset Management | AUB vs. Carlton Investments |
| Macquarie vs. Hutchison Telecommunications | Macquarie vs. Iron Road | Macquarie vs. Kingsrose Mining | Macquarie vs. Andean Silver Limited |
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 Backtesting module to avoid under-diversification and over-optimization by backtesting your portfolios.
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