Correlation Between PM Capital and Macquarie Group
Can any of the company-specific risk be diversified away by investing in both PM Capital 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 PM Capital and Macquarie 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 Macquarie Group Ltd, you can compare the effects of market volatilities on PM Capital 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 PM Capital with a short position of Macquarie Group. Check out your portfolio center. Please also check ongoing floating volatility patterns of PM Capital and Macquarie Group.
Diversification Opportunities for PM Capital and Macquarie Group
0.29 | Correlation Coefficient |
Modest diversification
The 3 months correlation between PGF and Macquarie is 0.29. Overlapping area represents the amount of risk that can be diversified away by holding PM Capital Global and Macquarie Group Ltd in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Macquarie Group 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 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 PM Capital i.e., PM Capital and Macquarie Group go up and down completely randomly.
Pair Corralation between PM Capital and Macquarie Group
Assuming the 90 days trading horizon PM Capital Global is expected to generate 3.38 times more return on investment than Macquarie Group. However, PM Capital is 3.38 times more volatile than Macquarie Group Ltd. It trades about 0.07 of its potential returns per unit of risk. Macquarie Group Ltd is currently generating about 0.09 per unit of risk. If you would invest 166.00 in PM Capital Global on September 1, 2024 and sell it today you would earn a total of 62.00 from holding PM Capital Global or generate 37.35% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
PM Capital Global vs. Macquarie Group Ltd
Performance |
| Timeline |
| PM Capital Global |
| Macquarie Group |
PM Capital and Macquarie Group Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with PM Capital and Macquarie Group
The main advantage of trading using opposite PM Capital and Macquarie Group positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if PM Capital 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.| PM Capital vs. Skycity Entertainment Group | PM Capital vs. Retail Food Group | PM Capital vs. Truscott Mining Corp | PM Capital vs. Autosports Group |
| Macquarie Group vs. Premier Investments | Macquarie Group vs. Carlton Investments | Macquarie Group vs. Retail Food Group | Macquarie Group vs. Carnegie Clean Energy |
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 Price Transformation module to use Price Transformation models to analyze the depth of different equity instruments across global markets.
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