Correlation Between Macquarie and Aurizon Holdings
Can any of the company-specific risk be diversified away by investing in both Macquarie and Aurizon Holdings 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 Aurizon Holdings into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Macquarie Group and Aurizon Holdings, you can compare the effects of market volatilities on Macquarie and Aurizon Holdings 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 Aurizon Holdings. Check out your portfolio center. Please also check ongoing floating volatility patterns of Macquarie and Aurizon Holdings.
Diversification Opportunities for Macquarie and Aurizon Holdings
0.65 | Correlation Coefficient |
Poor diversification
The 3 months correlation between Macquarie and Aurizon is 0.65. Overlapping area represents the amount of risk that can be diversified away by holding Macquarie Group and Aurizon Holdings in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Aurizon Holdings 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 Aurizon Holdings. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Aurizon Holdings has no effect on the direction of Macquarie i.e., Macquarie and Aurizon Holdings go up and down completely randomly.
Pair Corralation between Macquarie and Aurizon Holdings
Assuming the 90 days trading horizon Macquarie Group is expected to generate 1.01 times more return on investment than Aurizon Holdings. However, Macquarie is 1.01 times more volatile than Aurizon Holdings. It trades about 0.07 of its potential returns per unit of risk. Aurizon Holdings is currently generating about 0.01 per unit of risk. If you would invest 16,146 in Macquarie Group on August 28, 2024 and sell it today you would earn a total of 6,914 from holding Macquarie Group or generate 42.82% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Macquarie Group vs. Aurizon Holdings
Performance |
| Timeline |
| Macquarie Group |
| Aurizon Holdings |
Macquarie and Aurizon Holdings Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Macquarie and Aurizon Holdings
The main advantage of trading using opposite Macquarie and Aurizon Holdings positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Macquarie position performs unexpectedly, Aurizon Holdings 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 Aurizon Holdings will offset losses from the drop in Aurizon Holdings' long position.| Macquarie vs. Vulcan Steel | Macquarie vs. Charter Hall Education | Macquarie vs. Queste Communications | Macquarie vs. Dicker Data |
| Aurizon Holdings vs. Macquarie Group | Aurizon Holdings vs. Rio Tinto | Aurizon Holdings vs. CSL | Aurizon Holdings vs. Commonwealth Bank of |
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 Efficient Frontier module to plot and analyze your portfolio and positions against risk-return landscape of the market..
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