Correlation Between Commonwealth Bank and Macquarie
Can any of the company-specific risk be diversified away by investing in both Commonwealth Bank 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 Commonwealth Bank and Macquarie into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Commonwealth Bank of and Macquarie Group, you can compare the effects of market volatilities on Commonwealth Bank 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 Commonwealth Bank with a short position of Macquarie. Check out your portfolio center. Please also check ongoing floating volatility patterns of Commonwealth Bank and Macquarie.
Diversification Opportunities for Commonwealth Bank and Macquarie
0.0 | Correlation Coefficient |
Pay attention - limited upside
The 3 months correlation between Commonwealth and Macquarie is 0.0. Overlapping area represents the amount of risk that can be diversified away by holding Commonwealth Bank of and Macquarie Group in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Macquarie Group and Commonwealth Bank 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 Commonwealth Bank of 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 Commonwealth Bank i.e., Commonwealth Bank and Macquarie go up and down completely randomly.
Pair Corralation between Commonwealth Bank and Macquarie
Assuming the 90 days trading horizon Commonwealth Bank is expected to generate 9.4 times less return on investment than Macquarie. But when comparing it to its historical volatility, Commonwealth Bank of is 5.13 times less risky than Macquarie. It trades about 0.04 of its potential returns per unit of risk. Macquarie Group is currently generating about 0.07 of returns per unit of risk over similar time horizon. If you would invest 16,036 in Macquarie Group on August 28, 2024 and sell it today you would earn a total of 7,208 from holding Macquarie Group or generate 44.95% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Flat |
| Strength | Insignificant |
| Accuracy | 99.79% |
| Values | Daily Returns |
Commonwealth Bank of vs. Macquarie Group
Performance |
| Timeline |
| Commonwealth Bank |
| Macquarie Group |
Commonwealth Bank and Macquarie Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Commonwealth Bank and Macquarie
The main advantage of trading using opposite Commonwealth Bank and Macquarie positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Commonwealth Bank 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.| Commonwealth Bank vs. Westpac Banking | Commonwealth Bank vs. Commonwealth Bank | Commonwealth Bank vs. National Australia Bank | Commonwealth Bank vs. Westpac Banking Corp |
| Macquarie vs. IDP Education | Macquarie vs. Embark Education Group | Macquarie vs. Australian Unity Office | Macquarie vs. Legacy Iron Ore |
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 Top Crypto Exchanges module to search and analyze digital assets across top global cryptocurrency exchanges.
Other Complementary Tools
| Fundamentals Comparison Compare fundamentals across multiple equities to find investing opportunities | |
| Content Syndication Quickly integrate customizable finance content to your own investment portal | |
| Balance Of Power Check stock momentum by analyzing Balance Of Power indicator and other technical ratios | |
| Watchlist Optimization Optimize watchlists to build efficient portfolios or rebalance existing positions based on the mean-variance optimization algorithm | |
| Equity Valuation Check real value of public entities based on technical and fundamental data |