Correlation Between Aneka Tambang and Macquarie Group

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

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

Diversification Opportunities for Aneka Tambang and Macquarie Group

-0.55

Correlation Coefficient

Aneka Tambang  Macquarie Group

Excellent diversification

The 3 months correlation between Aneka and Macquarie is -0.55. Overlapping area represents the amount of risk that can be diversified away by holding Aneka Tambang Tbk and Macquarie Group Ltd in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Macquarie Group and Aneka Tambang 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 Aneka Tambang Tbk 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 Aneka Tambang i.e., Aneka Tambang and Macquarie Group go up and down completely randomly.

Pair Corralation between Aneka Tambang and Macquarie Group

Assuming the 90 days trading horizon Aneka Tambang Tbk is expected to under-perform the Macquarie Group. In addition to that, Aneka Tambang is 4.36 times more volatile than Macquarie Group Ltd. It trades about -0.08 of its total potential returns per unit of risk. Macquarie Group Ltd is currently generating about 0.06 per unit of volatility. If you would invest  10,255  in Macquarie Group Ltd on September 3, 2024 and sell it today you would earn a total of  216.00  from holding Macquarie Group Ltd or generate 2.11% return on investment over 90 days.

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

Aneka Tambang Tbk  vs.  Macquarie Group Ltd

Aneka Tambang Tbk

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Aneka Tambang Tbk has generated negative risk-adjusted returns adding no value to investors with long positions. In spite of latest uncertain performance, the Stock's primary indicators remain stable and the newest uproar on Wall Street may also be a sign of mid-term gains for the firm private investors.

Macquarie Group

Risk-Adjusted Performance

4 of 100

OK

Compared to the overall equity markets, risk-adjusted returns on investments in Macquarie Group Ltd are ranked lower than 4 (%) of all global equities and portfolios over the last 90 days. Despite somewhat strong basic indicators, Macquarie Group is not utilizing all of its potentials. The newest stock price disturbance, may contribute to short-term losses for the investors.

Pair Trading with Aneka Tambang and Macquarie Group

The main advantage of trading using opposite Aneka Tambang and Macquarie Group positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Aneka Tambang 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.

The idea behind Aneka Tambang Tbk and Macquarie Group Ltd 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 Price Transformation module to use Price Transformation models to analyze the depth of different equity instruments across global markets.