Correlation Between PM Capital and ANZ Group
Can any of the company-specific risk be diversified away by investing in both PM Capital and ANZ 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 PM Capital and ANZ Group into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between PM Capital Global and ANZ Group Holdings, you can compare the effects of market volatilities on PM Capital and ANZ 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 PM Capital with a short position of ANZ Group. Check out your portfolio center. Please also check ongoing floating volatility patterns of PM Capital and ANZ Group.
Diversification Opportunities for PM Capital and ANZ Group
0.79 | Correlation Coefficient |
Poor diversification
The 3 months correlation between PGF and ANZ is 0.79. Overlapping area represents the amount of risk that can be diversified away by holding PM Capital Global and ANZ Group Holdings in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on ANZ Group Holdings and PM Capital 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 PM Capital Global are associated (or correlated) with ANZ Group. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of ANZ Group Holdings has no effect on the direction of PM Capital i.e., PM Capital and ANZ Group go up and down completely randomly.
Pair Corralation between PM Capital and ANZ Group
Assuming the 90 days trading horizon PM Capital Global is expected to under-perform the ANZ Group. In addition to that, PM Capital is 6.19 times more volatile than ANZ Group Holdings. It trades about -0.04 of its total potential returns per unit of risk. ANZ Group Holdings is currently generating about -0.15 per unit of volatility. If you would invest 10,385 in ANZ Group Holdings on August 28, 2024 and sell it today you would lose (72.00) from holding ANZ Group Holdings or give up 0.69% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 95.45% |
| Values | Daily Returns |
PM Capital Global vs. ANZ Group Holdings
Performance |
| Timeline |
| PM Capital Global |
| ANZ Group Holdings |
PM Capital and ANZ Group Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with PM Capital and ANZ Group
The main advantage of trading using opposite PM Capital and ANZ Group positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if PM Capital position performs unexpectedly, ANZ 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 ANZ Group will offset losses from the drop in ANZ Group's long position.| PM Capital vs. National Australia Bank | PM Capital vs. National Australia Bank | PM Capital vs. Westpac Banking | PM Capital vs. National Australia Bank |
| ANZ Group vs. Readytech Holdings | ANZ Group vs. Retail Food Group | ANZ Group vs. Charter Hall Retail | ANZ Group vs. Advanced Braking Technology |
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 Options Analysis module to analyze and evaluate options and option chains as a potential hedge for your portfolios.
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