Correlation Between Macquarie and CSL
Can any of the company-specific risk be diversified away by investing in both Macquarie and CSL 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 CSL into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Macquarie Group and CSL, you can compare the effects of market volatilities on Macquarie and CSL 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 CSL. Check out your portfolio center. Please also check ongoing floating volatility patterns of Macquarie and CSL.
Diversification Opportunities for Macquarie and CSL
Very good diversification
The 3 months correlation between Macquarie and CSL is -0.34. Overlapping area represents the amount of risk that can be diversified away by holding Macquarie Group and CSL in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on CSL 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 CSL. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of CSL has no effect on the direction of Macquarie i.e., Macquarie and CSL go up and down completely randomly.
Pair Corralation between Macquarie and CSL
Assuming the 90 days trading horizon Macquarie Group is expected to generate 0.93 times more return on investment than CSL. However, Macquarie Group is 1.07 times less risky than CSL. It trades about 0.08 of its potential returns per unit of risk. CSL is currently generating about -0.23 per unit of risk. If you would invest 23,109 in Macquarie Group on November 18, 2024 and sell it today you would earn a total of 435.00 from holding Macquarie Group or generate 1.88% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Insignificant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Macquarie Group vs. CSL
Performance |
| Timeline |
| Macquarie Group |
| CSL |
Macquarie and CSL Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Macquarie and CSL
The main advantage of trading using opposite Macquarie and CSL positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Macquarie position performs unexpectedly, CSL 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 CSL will offset losses from the drop in CSL's long position.| Macquarie vs. Ainsworth Game Technology | Macquarie vs. Galena Mining | Macquarie vs. Unico Silver | Macquarie vs. Technology One |
| CSL vs. Global Health | CSL vs. Sandon Capital Investments | CSL vs. Diversified United Investment | CSL vs. Djerriwarrh 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 Fundamental Analysis module to view fundamental data based on most recent published financial statements.
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