Correlation Between Elang Mahkota and Digital Mediatama
Can any of the company-specific risk be diversified away by investing in both Elang Mahkota and Digital Mediatama 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 Elang Mahkota and Digital Mediatama into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Elang Mahkota Teknologi and Digital Mediatama Maxima, you can compare the effects of market volatilities on Elang Mahkota and Digital Mediatama 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 Elang Mahkota with a short position of Digital Mediatama. Check out your portfolio center. Please also check ongoing floating volatility patterns of Elang Mahkota and Digital Mediatama.
Diversification Opportunities for Elang Mahkota and Digital Mediatama
0.88 | Correlation Coefficient |
Very poor diversification
The 3 months correlation between Elang and Digital is 0.88. Overlapping area represents the amount of risk that can be diversified away by holding Elang Mahkota Teknologi and Digital Mediatama Maxima in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Digital Mediatama Maxima and Elang Mahkota 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 Elang Mahkota Teknologi are associated (or correlated) with Digital Mediatama. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Digital Mediatama Maxima has no effect on the direction of Elang Mahkota i.e., Elang Mahkota and Digital Mediatama go up and down completely randomly.
Pair Corralation between Elang Mahkota and Digital Mediatama
Assuming the 90 days trading horizon Elang Mahkota is expected to generate 3.67 times less return on investment than Digital Mediatama. But when comparing it to its historical volatility, Elang Mahkota Teknologi is 1.63 times less risky than Digital Mediatama. It trades about 0.1 of its potential returns per unit of risk. Digital Mediatama Maxima is currently generating about 0.22 of returns per unit of risk over similar time horizon. If you would invest 12,400 in Digital Mediatama Maxima on August 28, 2024 and sell it today you would earn a total of 11,600 from holding Digital Mediatama Maxima or generate 93.55% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
Elang Mahkota Teknologi vs. Digital Mediatama Maxima
Performance |
| Timeline |
| Elang Mahkota Teknologi |
| Digital Mediatama Maxima |
Elang Mahkota and Digital Mediatama Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Elang Mahkota and Digital Mediatama
The main advantage of trading using opposite Elang Mahkota and Digital Mediatama positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Elang Mahkota position performs unexpectedly, Digital Mediatama 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 Digital Mediatama will offset losses from the drop in Digital Mediatama's long position.| Elang Mahkota vs. Bank Artos Indonesia | Elang Mahkota vs. PT Bukalapak | Elang Mahkota vs. Sumber Alfaria Trijaya | Elang Mahkota vs. Merdeka Copper Gold |
| Digital Mediatama vs. Elang Mahkota Teknologi | Digital Mediatama vs. M Cash Integrasi | Digital Mediatama vs. Bank Artos Indonesia | Digital Mediatama vs. Bank Yudha Bhakti |
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 Rebalancing module to analyze risk-adjusted returns against different time horizons to find asset-allocation targets.
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