Correlation Between Citra Marga and Modernland Realty
Can any of the company-specific risk be diversified away by investing in both Citra Marga and Modernland Realty 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 Modernland Realty 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 Modernland Realty Ltd, you can compare the effects of market volatilities on Citra Marga and Modernland Realty 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 Modernland Realty. Check out your portfolio center. Please also check ongoing floating volatility patterns of Citra Marga and Modernland Realty.
Diversification Opportunities for Citra Marga and Modernland Realty
-0.41 | Correlation Coefficient |
Very good diversification
The 3 months correlation between Citra and Modernland is -0.41. Overlapping area represents the amount of risk that can be diversified away by holding Citra Marga Nusaphala and Modernland Realty Ltd in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Modernland Realty 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 Modernland Realty. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Modernland Realty has no effect on the direction of Citra Marga i.e., Citra Marga and Modernland Realty go up and down completely randomly.
Pair Corralation between Citra Marga and Modernland Realty
Assuming the 90 days trading horizon Citra Marga Nusaphala is expected to generate 0.16 times more return on investment than Modernland Realty. However, Citra Marga Nusaphala is 6.44 times less risky than Modernland Realty. It trades about -0.1 of its potential returns per unit of risk. Modernland Realty Ltd is currently generating about -0.07 per unit of risk. If you would invest 143,500 in Citra Marga Nusaphala on September 1, 2024 and sell it today you would lose (2,000) from holding Citra Marga Nusaphala or give up 1.39% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Very Weak |
| Accuracy | 95.45% |
| Values | Daily Returns |
Citra Marga Nusaphala vs. Modernland Realty Ltd
Performance |
| Timeline |
| Citra Marga Nusaphala |
| Modernland Realty |
Citra Marga and Modernland Realty Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Citra Marga and Modernland Realty
The main advantage of trading using opposite Citra Marga and Modernland Realty positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Citra Marga position performs unexpectedly, Modernland Realty 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 Modernland Realty will offset losses from the drop in Modernland Realty's long position.| Citra Marga vs. Berlian Laju Tanker | Citra Marga vs. Solusi Bangun Indonesia | Citra Marga vs. Kawasan Industri Jababeka | Citra Marga vs. Mnc Investama Tbk |
| Modernland Realty vs. Lippo Cikarang Tbk | Modernland Realty vs. Lippo Karawaci Tbk | Modernland Realty vs. Intiland Development Tbk | Modernland Realty vs. Mitra Pinasthika Mustika |
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 Volatility Analysis module to get historical volatility and risk analysis based on latest market data.
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