Correlation Between Delta Djakarta and Mayora Indah
Can any of the company-specific risk be diversified away by investing in both Delta Djakarta and Mayora Indah 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 Mayora Indah 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 Mayora Indah Tbk, you can compare the effects of market volatilities on Delta Djakarta and Mayora Indah 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 Mayora Indah. Check out your portfolio center. Please also check ongoing floating volatility patterns of Delta Djakarta and Mayora Indah.
Diversification Opportunities for Delta Djakarta and Mayora Indah
0.3 | Correlation Coefficient |
Weak diversification
The 3 months correlation between Delta and Mayora is 0.3. Overlapping area represents the amount of risk that can be diversified away by holding Delta Djakarta Tbk and Mayora Indah Tbk in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Mayora Indah 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 Mayora Indah. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Mayora Indah Tbk has no effect on the direction of Delta Djakarta i.e., Delta Djakarta and Mayora Indah go up and down completely randomly.
Pair Corralation between Delta Djakarta and Mayora Indah
Assuming the 90 days trading horizon Delta Djakarta Tbk is expected to under-perform the Mayora Indah. But the stock apears to be less risky and, when comparing its historical volatility, Delta Djakarta Tbk is 1.19 times less risky than Mayora Indah. The stock trades about -0.15 of its potential returns per unit of risk. The Mayora Indah Tbk is currently generating about 0.09 of returns per unit of risk over similar time horizon. If you would invest 223,730 in Mayora Indah Tbk on August 31, 2024 and sell it today you would earn a total of 48,270 from holding Mayora Indah Tbk or generate 21.58% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
Delta Djakarta Tbk vs. Mayora Indah Tbk
Performance |
| Timeline |
| Delta Djakarta Tbk |
| Mayora Indah Tbk |
Delta Djakarta and Mayora Indah Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Delta Djakarta and Mayora Indah
The main advantage of trading using opposite Delta Djakarta and Mayora Indah positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Delta Djakarta position performs unexpectedly, Mayora Indah 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 Mayora Indah will offset losses from the drop in Mayora Indah's long position.| Delta Djakarta vs. Multi Bintang Indonesia | Delta Djakarta vs. Wilmar Cahaya Indonesia | Delta Djakarta vs. Darya Varia Laboratoria Tbk | Delta Djakarta vs. Akasha Wira International |
| Mayora Indah vs. Indofood Cbp Sukses | Mayora Indah vs. Kalbe Farma Tbk | Mayora Indah vs. Unilever Indonesia Tbk | Mayora Indah vs. Ultra Jaya Milk |
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 Performance Analysis module to check effects of mean-variance optimization against your current asset allocation.
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