Correlation Between Macquarie and Autosports
Can any of the company-specific risk be diversified away by investing in both Macquarie 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 Macquarie and Autosports into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Macquarie Group and Autosports Group, you can compare the effects of market volatilities on Macquarie 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 Macquarie with a short position of Autosports. Check out your portfolio center. Please also check ongoing floating volatility patterns of Macquarie and Autosports.
Diversification Opportunities for Macquarie and Autosports
0.32 | Correlation Coefficient |
Weak diversification
The 3 months correlation between Macquarie and Autosports is 0.32. Overlapping area represents the amount of risk that can be diversified away by holding Macquarie Group and Autosports Group in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Autosports Group and Macquarie 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 Macquarie Group 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 Macquarie i.e., Macquarie and Autosports go up and down completely randomly.
Pair Corralation between Macquarie and Autosports
Assuming the 90 days trading horizon Macquarie Group is expected to generate 0.66 times more return on investment than Autosports. However, Macquarie Group is 1.52 times less risky than Autosports. It trades about 0.07 of its potential returns per unit of risk. Autosports Group is currently generating about 0.02 per unit of risk. 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 | Moves Together |
| Strength | Very Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
Macquarie Group vs. Autosports Group
Performance |
| Timeline |
| Macquarie Group |
| Autosports Group |
Macquarie and Autosports Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Macquarie and Autosports
The main advantage of trading using opposite Macquarie and Autosports positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Macquarie 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.| Macquarie vs. IDP Education | Macquarie vs. Embark Education Group | Macquarie vs. Australian Unity Office | Macquarie vs. Legacy Iron Ore |
| Autosports vs. Aneka Tambang Tbk | Autosports vs. Macquarie Group | Autosports vs. Macquarie Group Ltd | Autosports vs. Challenger |
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 Piotroski F Score module to get Piotroski F Score based on the binary analysis strategy of nine different fundamentals.
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