Correlation Between Darya Varia and Matahari Department
Can any of the company-specific risk be diversified away by investing in both Darya Varia and Matahari Department 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 Matahari Department 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 Matahari Department Store, you can compare the effects of market volatilities on Darya Varia and Matahari Department 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 Matahari Department. Check out your portfolio center. Please also check ongoing floating volatility patterns of Darya Varia and Matahari Department.
Diversification Opportunities for Darya Varia and Matahari Department
0.36 | Correlation Coefficient |
Weak diversification
The 3 months correlation between Darya and Matahari is 0.36. Overlapping area represents the amount of risk that can be diversified away by holding Darya Varia Laboratoria Tbk and Matahari Department Store in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Matahari Department Store 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 Matahari Department. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Matahari Department Store has no effect on the direction of Darya Varia i.e., Darya Varia and Matahari Department go up and down completely randomly.
Pair Corralation between Darya Varia and Matahari Department
Assuming the 90 days trading horizon Darya Varia Laboratoria Tbk is expected to under-perform the Matahari Department. But the stock apears to be less risky and, when comparing its historical volatility, Darya Varia Laboratoria Tbk is 1.24 times less risky than Matahari Department. The stock trades about -0.15 of its potential returns per unit of risk. The Matahari Department Store is currently generating about 0.14 of returns per unit of risk over similar time horizon. If you would invest 152,500 in Matahari Department Store on November 29, 2024 and sell it today you would earn a total of 7,500 from holding Matahari Department Store or generate 4.92% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Weak |
| Accuracy | 95.24% |
| Values | Daily Returns |
Darya Varia Laboratoria Tbk vs. Matahari Department Store
Performance |
| Timeline |
| Darya Varia Laboratoria |
| Matahari Department Store |
Darya Varia and Matahari Department Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Darya Varia and Matahari Department
The main advantage of trading using opposite Darya Varia and Matahari Department positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Darya Varia position performs unexpectedly, Matahari Department 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 Matahari Department will offset losses from the drop in Matahari Department's long position.| Darya Varia vs. Tempo Scan Pacific | Darya Varia vs. Wilmar Cahaya Indonesia | Darya Varia vs. Merck Tbk | Darya Varia vs. Delta Djakarta Tbk |
| Matahari Department vs. Surya Citra Media | Matahari Department vs. Akr Corporindo Tbk | Matahari Department vs. Media Nusantara Citra | Matahari Department vs. Pembangunan Perumahan PT |
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 Dashboard module to portfolio dashboard that provides centralized access to all your investments.
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