Correlation Between Sepatu Bata and Mitra Pinasthika
Can any of the company-specific risk be diversified away by investing in both Sepatu Bata and Mitra Pinasthika 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 Sepatu Bata and Mitra Pinasthika into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Sepatu Bata Tbk and Mitra Pinasthika Mustika, you can compare the effects of market volatilities on Sepatu Bata and Mitra Pinasthika 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 Sepatu Bata with a short position of Mitra Pinasthika. Check out your portfolio center. Please also check ongoing floating volatility patterns of Sepatu Bata and Mitra Pinasthika.
Diversification Opportunities for Sepatu Bata and Mitra Pinasthika
0.79 | Correlation Coefficient |
Poor diversification
The 3 months correlation between Sepatu and Mitra is 0.79. Overlapping area represents the amount of risk that can be diversified away by holding Sepatu Bata Tbk and Mitra Pinasthika Mustika in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Mitra Pinasthika Mustika and Sepatu Bata 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 Sepatu Bata Tbk are associated (or correlated) with Mitra Pinasthika. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Mitra Pinasthika Mustika has no effect on the direction of Sepatu Bata i.e., Sepatu Bata and Mitra Pinasthika go up and down completely randomly.
Pair Corralation between Sepatu Bata and Mitra Pinasthika
Assuming the 90 days trading horizon Sepatu Bata Tbk is expected to under-perform the Mitra Pinasthika. In addition to that, Sepatu Bata is 4.3 times more volatile than Mitra Pinasthika Mustika. It trades about -0.24 of its total potential returns per unit of risk. Mitra Pinasthika Mustika is currently generating about -0.22 per unit of volatility. If you would invest 100,500 in Mitra Pinasthika Mustika on September 4, 2024 and sell it today you would lose (2,000) from holding Mitra Pinasthika Mustika or give up 1.99% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 95.24% |
| Values | Daily Returns |
Sepatu Bata Tbk vs. Mitra Pinasthika Mustika
Performance |
| Timeline |
| Sepatu Bata Tbk |
| Mitra Pinasthika Mustika |
Sepatu Bata and Mitra Pinasthika Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Sepatu Bata and Mitra Pinasthika
The main advantage of trading using opposite Sepatu Bata and Mitra Pinasthika positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Sepatu Bata position performs unexpectedly, Mitra Pinasthika 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 Mitra Pinasthika will offset losses from the drop in Mitra Pinasthika's long position.| Sepatu Bata vs. Jakarta Int Hotels | Sepatu Bata vs. Asuransi Harta Aman | Sepatu Bata vs. Indosterling Technomedia Tbk | Sepatu Bata vs. Indosat Tbk |
| Mitra Pinasthika vs. Jakarta Int Hotels | Mitra Pinasthika vs. Asuransi Harta Aman | Mitra Pinasthika vs. Indosterling Technomedia Tbk | Mitra Pinasthika vs. Indosat Tbk |
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 Analyst Advice module to analyst recommendations and target price estimates broken down by several categories.
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