Correlation Between Commonwealth Bank and Pengana Private

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

By analyzing existing cross correlation between Commonwealth Bank and Pengana Private Equity, you can compare the effects of market volatilities on Commonwealth Bank and Pengana Private 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 Commonwealth Bank with a short position of Pengana Private. Check out your portfolio center. Please also check ongoing floating volatility patterns of Commonwealth Bank and Pengana Private.

Diversification Opportunities for Commonwealth Bank and Pengana Private

-0.78

Correlation Coefficient

Commonwealth Bank  Pengana Private

Pay attention - limited upside

The 3 months correlation between Commonwealth and Pengana is -0.78. Overlapping area represents the amount of risk that can be diversified away by holding Commonwealth Bank and Pengana Private Equity in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Pengana Private Equity and Commonwealth Bank 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 Commonwealth Bank are associated (or correlated) with Pengana Private. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Pengana Private Equity has no effect on the direction of Commonwealth Bank i.e., Commonwealth Bank and Pengana Private go up and down completely randomly.

Pair Corralation between Commonwealth Bank and Pengana Private

Assuming the 90 days trading horizon Commonwealth Bank is expected to generate 0.58 times more return on investment than Pengana Private. However, Commonwealth Bank is 1.74 times less risky than Pengana Private. It trades about 0.15 of its potential returns per unit of risk. Pengana Private Equity is currently generating about 0.02 per unit of risk. If you would invest  14,165  in Commonwealth Bank on September 13, 2024 and sell it today you would earn a total of  1,587  from holding Commonwealth Bank or generate 11.2% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Against
Strength	Weak
Accuracy	98.46%
Values	Daily Returns

Commonwealth Bank  vs.  Pengana Private Equity

Commonwealth Bank

Risk-Adjusted Performance

11 of 100

Good

Compared to the overall equity markets, risk-adjusted returns on investments in Commonwealth Bank are ranked lower than 11 (%) of all global equities and portfolios over the last 90 days. In spite of comparatively uncertain basic indicators, Commonwealth Bank may actually be approaching a critical reversion point that can send shares even higher in January 2025.

Pengana Private Equity

Risk-Adjusted Performance

1 of 100

Weak

Compared to the overall equity markets, risk-adjusted returns on investments in Pengana Private Equity are ranked lower than 1 (%) of all global equities and portfolios over the last 90 days. In spite of comparatively stable basic indicators, Pengana Private 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 Commonwealth Bank and Pengana Private

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

The idea behind Commonwealth Bank and Pengana Private Equity 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.

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 Piotroski F Score module to get Piotroski F Score based on the binary analysis strategy of nine different fundamentals.