Correlation Between Delta Djakarta and Merck Tbk
Can any of the company-specific risk be diversified away by investing in both Delta Djakarta and Merck Tbk 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 Delta Djakarta and Merck Tbk into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Delta Djakarta Tbk and Merck Tbk, you can compare the effects of market volatilities on Delta Djakarta and Merck Tbk 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 Delta Djakarta with a short position of Merck Tbk. Check out your portfolio center. Please also check ongoing floating volatility patterns of Delta Djakarta and Merck Tbk.
Diversification Opportunities for Delta Djakarta and Merck Tbk
0.89 | Correlation Coefficient |
Very poor diversification
The 3 months correlation between Delta and Merck is 0.89. Overlapping area represents the amount of risk that can be diversified away by holding Delta Djakarta Tbk and Merck Tbk in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Merck Tbk and Delta Djakarta 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 Delta Djakarta Tbk are associated (or correlated) with Merck Tbk. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Merck Tbk has no effect on the direction of Delta Djakarta i.e., Delta Djakarta and Merck Tbk go up and down completely randomly.
Pair Corralation between Delta Djakarta and Merck Tbk
Assuming the 90 days trading horizon Delta Djakarta Tbk is expected to under-perform the Merck Tbk. In addition to that, Delta Djakarta is 1.51 times more volatile than Merck Tbk. It trades about -0.11 of its total potential returns per unit of risk. Merck Tbk is currently generating about -0.08 per unit of volatility. If you would invest 427,300 in Merck Tbk on August 26, 2024 and sell it today you would lose (81,300) from holding Merck Tbk or give up 19.03% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
Delta Djakarta Tbk vs. Merck Tbk
Performance |
| Timeline |
| Delta Djakarta Tbk |
| Merck Tbk |
Delta Djakarta and Merck Tbk Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Delta Djakarta and Merck Tbk
The main advantage of trading using opposite Delta Djakarta and Merck Tbk positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Delta Djakarta position performs unexpectedly, Merck Tbk 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 Merck Tbk will offset losses from the drop in Merck Tbk's long position.| Delta Djakarta vs. Charoen Pokphand Indonesia | Delta Djakarta vs. Kalbe Farma Tbk | Delta Djakarta vs. Indofood Cbp Sukses | Delta Djakarta vs. Akr Corporindo Tbk |
| Merck Tbk vs. Astra Graphia Tbk | Merck Tbk vs. Hexindo Adiperkasa Tbk | Merck Tbk vs. Lautan Luas Tbk | Merck Tbk 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 ETFs module to find actively traded Exchange Traded Funds (ETF) from around the world.
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