Correlation Between ANZ Group and Macquarie

Can any of the company-specific risk be diversified away by investing in both ANZ Group and Macquarie 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 ANZ Group and Macquarie into the same portfolio, which is an essential part of the fundamental portfolio management process.

By analyzing existing cross correlation between ANZ Group Holdings and Macquarie Group, you can compare the effects of market volatilities on ANZ Group and Macquarie 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 ANZ Group with a short position of Macquarie. Check out your portfolio center. Please also check ongoing floating volatility patterns of ANZ Group and Macquarie.

Diversification Opportunities for ANZ Group and Macquarie

-0.09

Correlation Coefficient

ANZ Group  Macquarie

Good diversification

The 3 months correlation between ANZ and Macquarie is -0.09. Overlapping area represents the amount of risk that can be diversified away by holding ANZ Group Holdings and Macquarie Group in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Macquarie Group and ANZ Group 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 ANZ Group Holdings are associated (or correlated) with Macquarie. 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 ANZ Group i.e., ANZ Group and Macquarie go up and down completely randomly.

Pair Corralation between ANZ Group and Macquarie

Assuming the 90 days trading horizon ANZ Group Holdings is not expected to generate positive returns. However, ANZ Group Holdings is 3.62 times less risky than Macquarie. It waists most of its returns potential to compensate for thr risk taken. Macquarie is generating about 0.01 per unit of risk. If you would invest  22,422  in Macquarie Group on September 12, 2024 and sell it today you would earn a total of  89.00  from holding Macquarie Group or generate 0.4% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Against
Strength	Insignificant
Accuracy	100.0%
Values	Daily Returns

ANZ Group Holdings  vs.  Macquarie Group

ANZ Group Holdings

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days ANZ Group Holdings has generated negative risk-adjusted returns adding no value to investors with long positions. Despite somewhat strong basic indicators, ANZ Group is not utilizing all of its potentials. The newest stock price disturbance, may contribute to short-term losses for the investors.

Macquarie Group

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Macquarie Group has generated negative risk-adjusted returns adding no value to investors with long positions. In spite of comparatively stable technical and fundamental indicators, Macquarie is not utilizing all of its potentials. The newest stock price uproar, may contribute to short-horizon losses for the private investors.

Pair Trading with ANZ Group and Macquarie

The main advantage of trading using opposite ANZ Group and Macquarie positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if ANZ Group position performs unexpectedly, Macquarie 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 will offset losses from the drop in Macquarie's long position.

The idea behind ANZ Group Holdings and Macquarie Group pairs trading is to make the combined position market-neutral, meaning the overall market's direction will not affect its win or loss (or potential downside or upside). This can be achieved by designing a pairs trade with two highly correlated stocks or equities that operate in a similar space or sector, making it possible to obtain profits through simple and relatively low-risk investment.

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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.