Correlation Between Duta Pertiwi and Lippo Cikarang
Can any of the company-specific risk be diversified away by investing in both Duta Pertiwi and Lippo Cikarang 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 Duta Pertiwi and Lippo Cikarang into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Duta Pertiwi Tbk and Lippo Cikarang Tbk, you can compare the effects of market volatilities on Duta Pertiwi and Lippo Cikarang 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 Duta Pertiwi with a short position of Lippo Cikarang. Check out your portfolio center. Please also check ongoing floating volatility patterns of Duta Pertiwi and Lippo Cikarang.
Diversification Opportunities for Duta Pertiwi and Lippo Cikarang
0.1 | Correlation Coefficient |
Average diversification
The 3 months correlation between Duta and Lippo is 0.1. Overlapping area represents the amount of risk that can be diversified away by holding Duta Pertiwi Tbk and Lippo Cikarang Tbk in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Lippo Cikarang Tbk and Duta Pertiwi 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 Duta Pertiwi Tbk are associated (or correlated) with Lippo Cikarang. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Lippo Cikarang Tbk has no effect on the direction of Duta Pertiwi i.e., Duta Pertiwi and Lippo Cikarang go up and down completely randomly.
Pair Corralation between Duta Pertiwi and Lippo Cikarang
Assuming the 90 days trading horizon Duta Pertiwi Tbk is expected to generate 0.76 times more return on investment than Lippo Cikarang. However, Duta Pertiwi Tbk is 1.32 times less risky than Lippo Cikarang. It trades about -0.24 of its potential returns per unit of risk. Lippo Cikarang Tbk is currently generating about -0.33 per unit of risk. If you would invest 444,000 in Duta Pertiwi Tbk on September 2, 2024 and sell it today you would lose (47,000) from holding Duta Pertiwi Tbk or give up 10.59% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Insignificant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Duta Pertiwi Tbk vs. Lippo Cikarang Tbk
Performance |
| Timeline |
| Duta Pertiwi Tbk |
| Lippo Cikarang Tbk |
Duta Pertiwi and Lippo Cikarang Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Duta Pertiwi and Lippo Cikarang
The main advantage of trading using opposite Duta Pertiwi and Lippo Cikarang positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Duta Pertiwi position performs unexpectedly, Lippo Cikarang 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 Lippo Cikarang will offset losses from the drop in Lippo Cikarang's long position.| Duta Pertiwi vs. Lippo Cikarang Tbk | Duta Pertiwi vs. Lippo Karawaci Tbk | Duta Pertiwi vs. Mitra Pinasthika Mustika | Duta Pertiwi vs. Jakarta Int Hotels |
| Lippo Cikarang vs. Lippo Karawaci Tbk | Lippo Cikarang vs. Mitra Pinasthika Mustika | Lippo Cikarang vs. Jakarta Int Hotels | Lippo Cikarang vs. Indosterling Technomedia Tbk |
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 Aroon Oscillator module to analyze current equity momentum using Aroon Oscillator and other momentum ratios.
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