Correlation Between Darya Varia and Citra Marga
Can any of the company-specific risk be diversified away by investing in both Darya Varia and Citra Marga 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 Darya Varia and Citra Marga into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Darya Varia Laboratoria Tbk and Citra Marga Nusaphala, you can compare the effects of market volatilities on Darya Varia and Citra Marga 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 Darya Varia with a short position of Citra Marga. Check out your portfolio center. Please also check ongoing floating volatility patterns of Darya Varia and Citra Marga.
Diversification Opportunities for Darya Varia and Citra Marga
-0.28 | Correlation Coefficient |
Very good diversification
The 3 months correlation between Darya and Citra is -0.28. Overlapping area represents the amount of risk that can be diversified away by holding Darya Varia Laboratoria Tbk and Citra Marga Nusaphala in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Citra Marga Nusaphala and Darya Varia 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 Darya Varia Laboratoria Tbk are associated (or correlated) with Citra Marga. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Citra Marga Nusaphala has no effect on the direction of Darya Varia i.e., Darya Varia and Citra Marga go up and down completely randomly.
Pair Corralation between Darya Varia and Citra Marga
Assuming the 90 days trading horizon Darya Varia Laboratoria Tbk is expected to under-perform the Citra Marga. But the stock apears to be less risky and, when comparing its historical volatility, Darya Varia Laboratoria Tbk is 1.36 times less risky than Citra Marga. The stock trades about -0.04 of its potential returns per unit of risk. The Citra Marga Nusaphala is currently generating about -0.02 of returns per unit of risk over similar time horizon. If you would invest 177,500 in Citra Marga Nusaphala on August 28, 2024 and sell it today you would lose (35,500) from holding Citra Marga Nusaphala or give up 20.0% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Insignificant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Darya Varia Laboratoria Tbk vs. Citra Marga Nusaphala
Performance |
| Timeline |
| Darya Varia Laboratoria |
| Citra Marga Nusaphala |
Darya Varia and Citra Marga Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Darya Varia and Citra Marga
The main advantage of trading using opposite Darya Varia and Citra Marga positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Darya Varia position performs unexpectedly, Citra Marga 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 Citra Marga will offset losses from the drop in Citra Marga's long position.| Darya Varia vs. Astra Graphia Tbk | Darya Varia vs. Hexindo Adiperkasa Tbk | Darya Varia vs. Lautan Luas Tbk | Darya Varia 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 Aroon Oscillator module to analyze current equity momentum using Aroon Oscillator and other momentum ratios.
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