Correlation Between Citatah Tbk and Pembangunan Jaya
Can any of the company-specific risk be diversified away by investing in both Citatah Tbk and Pembangunan Jaya 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 Citatah Tbk and Pembangunan Jaya into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Citatah Tbk and Pembangunan Jaya Ancol, you can compare the effects of market volatilities on Citatah Tbk and Pembangunan Jaya 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 Citatah Tbk with a short position of Pembangunan Jaya. Check out your portfolio center. Please also check ongoing floating volatility patterns of Citatah Tbk and Pembangunan Jaya.
Diversification Opportunities for Citatah Tbk and Pembangunan Jaya
-0.16 | Correlation Coefficient |
Good diversification
The 3 months correlation between Citatah and Pembangunan is -0.16. Overlapping area represents the amount of risk that can be diversified away by holding Citatah Tbk and Pembangunan Jaya Ancol in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Pembangunan Jaya Ancol and Citatah Tbk 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 Citatah Tbk are associated (or correlated) with Pembangunan Jaya. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Pembangunan Jaya Ancol has no effect on the direction of Citatah Tbk i.e., Citatah Tbk and Pembangunan Jaya go up and down completely randomly.
Pair Corralation between Citatah Tbk and Pembangunan Jaya
Assuming the 90 days trading horizon Citatah Tbk is expected to generate 0.95 times more return on investment than Pembangunan Jaya. However, Citatah Tbk is 1.06 times less risky than Pembangunan Jaya. It trades about -0.11 of its potential returns per unit of risk. Pembangunan Jaya Ancol is currently generating about -0.34 per unit of risk. If you would invest 2,700 in Citatah Tbk on December 6, 2024 and sell it today you would lose (100.00) from holding Citatah Tbk or give up 3.7% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Insignificant |
| Accuracy | 95.65% |
| Values | Daily Returns |
Citatah Tbk vs. Pembangunan Jaya Ancol
Performance |
| Timeline |
| Citatah Tbk |
| Pembangunan Jaya Ancol |
Citatah Tbk and Pembangunan Jaya Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Citatah Tbk and Pembangunan Jaya
The main advantage of trading using opposite Citatah Tbk and Pembangunan Jaya positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Citatah Tbk position performs unexpectedly, Pembangunan Jaya 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 Pembangunan Jaya will offset losses from the drop in Pembangunan Jaya's long position.| Citatah Tbk vs. Arkadia Digital Media | Citatah Tbk vs. City Retail Developments | Citatah Tbk vs. PT Hetzer Medical | Citatah Tbk vs. First Media Tbk |
| Pembangunan Jaya vs. Lautan Luas Tbk | Pembangunan Jaya vs. Panorama Sentrawisata Tbk | Pembangunan Jaya vs. Multi Indocitra Tbk | Pembangunan Jaya vs. Hotel Sahid Jaya |
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 Portfolio Holdings module to check your current holdings and cash postion to detemine if your portfolio needs rebalancing.
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