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

0.38

Correlation Coefficient

ANZ Group  Macquarie

Weak diversification

The 3 months correlation between ANZ and Macquarie is 0.38. 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 is expected to generate 5.7 times less return on investment than Macquarie. But when comparing it to its historical volatility, ANZ Group Holdings is 1.75 times less risky than Macquarie. It trades about 0.03 of its potential returns per unit of risk. Macquarie Group is currently generating about 0.1 of returns per unit of risk over similar time horizon. If you would invest  21,746  in Macquarie Group on September 5, 2024 and sell it today you would earn a total of  1,617  from holding Macquarie Group or generate 7.44% return on investment over 90 days.

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

ANZ Group Holdings  vs.  Macquarie Group

ANZ Group Holdings

Risk-Adjusted Performance

2 of 100

Weak

Compared to the overall equity markets, risk-adjusted returns on investments in ANZ Group Holdings are ranked lower than 2 (%) of all global equities and portfolios over the last 90 days. 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

8 of 100

OK

Compared to the overall equity markets, risk-adjusted returns on investments in Macquarie Group are ranked lower than 8 (%) of all global equities and portfolios over the last 90 days. In spite of comparatively uncertain technical and fundamental indicators, Macquarie may actually be approaching a critical reversion point that can send shares even higher in January 2025.

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 Pair Correlation module to compare performance and examine fundamental relationship between any two equity instruments.