Correlation Between National Australia and Macquarie Group
Can any of the company-specific risk be diversified away by investing in both National Australia and Macquarie Group 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 National Australia and Macquarie Group into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between National Australia Bank and Macquarie Group Ltd, you can compare the effects of market volatilities on National Australia and Macquarie Group 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 National Australia with a short position of Macquarie Group. Check out your portfolio center. Please also check ongoing floating volatility patterns of National Australia and Macquarie Group.
Diversification Opportunities for National Australia and Macquarie Group
0.35 | Correlation Coefficient |
Weak diversification
The 3 months correlation between National and Macquarie is 0.35. Overlapping area represents the amount of risk that can be diversified away by holding National Australia Bank and Macquarie Group Ltd in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Macquarie Group and National Australia 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 National Australia Bank are associated (or correlated) with Macquarie Group. 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 National Australia i.e., National Australia and Macquarie Group go up and down completely randomly.
Pair Corralation between National Australia and Macquarie Group
Assuming the 90 days trading horizon National Australia Bank is expected to generate 0.86 times more return on investment than Macquarie Group. However, National Australia Bank is 1.16 times less risky than Macquarie Group. It trades about 0.07 of its potential returns per unit of risk. Macquarie Group Ltd is currently generating about 0.02 per unit of risk. If you would invest 10,500 in National Australia Bank on November 4, 2024 and sell it today you would earn a total of 30.00 from holding National Australia Bank or generate 0.29% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
National Australia Bank vs. Macquarie Group Ltd
Performance |
| Timeline |
| National Australia Bank |
| Macquarie Group |
National Australia and Macquarie Group Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with National Australia and Macquarie Group
The main advantage of trading using opposite National Australia and Macquarie Group positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if National Australia position performs unexpectedly, Macquarie Group 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 Group will offset losses from the drop in Macquarie Group's long position.| National Australia vs. Carlton Investments | National Australia vs. Flagship Investments | National Australia vs. Hudson Investment Group | National Australia vs. Steamships Trading |
| Macquarie Group vs. Spirit Telecom | Macquarie Group vs. Data3 | Macquarie Group vs. Saferoads Holdings | Macquarie Group vs. Retail Food Group |
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 Analyst Advice module to analyst recommendations and target price estimates broken down by several categories.
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