Correlation Between Citra Marga and Darya Varia
Can any of the company-specific risk be diversified away by investing in both Citra Marga and Darya Varia 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 Citra Marga and Darya Varia into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Citra Marga Nusaphala and Darya Varia Laboratoria Tbk, you can compare the effects of market volatilities on Citra Marga and Darya Varia 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 Citra Marga with a short position of Darya Varia. Check out your portfolio center. Please also check ongoing floating volatility patterns of Citra Marga and Darya Varia.
Diversification Opportunities for Citra Marga and Darya Varia
-0.28 | Correlation Coefficient |
Very good diversification
The 3 months correlation between Citra and Darya is -0.28. Overlapping area represents the amount of risk that can be diversified away by holding Citra Marga Nusaphala and Darya Varia Laboratoria Tbk in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Darya Varia Laboratoria and Citra Marga 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 Citra Marga Nusaphala are associated (or correlated) with Darya Varia. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Darya Varia Laboratoria has no effect on the direction of Citra Marga i.e., Citra Marga and Darya Varia go up and down completely randomly.
Pair Corralation between Citra Marga and Darya Varia
Assuming the 90 days trading horizon Citra Marga Nusaphala is expected to generate 1.36 times more return on investment than Darya Varia. However, Citra Marga is 1.36 times more volatile than Darya Varia Laboratoria Tbk. It trades about -0.02 of its potential returns per unit of risk. Darya Varia Laboratoria Tbk is currently generating about -0.04 per unit of risk. If you would invest 177,500 in Citra Marga Nusaphala on August 28, 2024 and sell it today you would lose (35,500) from holding Citra Marga Nusaphala or give up 20.0% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Insignificant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Citra Marga Nusaphala vs. Darya Varia Laboratoria Tbk
Performance |
| Timeline |
| Citra Marga Nusaphala |
| Darya Varia Laboratoria |
Citra Marga and Darya Varia Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Citra Marga and Darya Varia
The main advantage of trading using opposite Citra Marga and Darya Varia positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Citra Marga position performs unexpectedly, Darya Varia 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 Darya Varia will offset losses from the drop in Darya Varia's long position.The idea behind Citra Marga Nusaphala and Darya Varia Laboratoria Tbk 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.| Darya Varia vs. Astra Graphia Tbk | Darya Varia vs. Hexindo Adiperkasa Tbk | Darya Varia vs. Lautan Luas Tbk | Darya Varia vs. Citra Marga Nusaphala |
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 Fundamental Analysis module to view fundamental data based on most recent published financial statements.
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