Correlation Between Gajah Tunggal and Citra Marga
Can any of the company-specific risk be diversified away by investing in both Gajah Tunggal 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 Gajah Tunggal and Citra Marga into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Gajah Tunggal Tbk and Citra Marga Nusaphala, you can compare the effects of market volatilities on Gajah Tunggal 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 Gajah Tunggal with a short position of Citra Marga. Check out your portfolio center. Please also check ongoing floating volatility patterns of Gajah Tunggal and Citra Marga.
Diversification Opportunities for Gajah Tunggal and Citra Marga
0.36 | Correlation Coefficient |
Weak diversification
The 3 months correlation between Gajah and Citra is 0.36. Overlapping area represents the amount of risk that can be diversified away by holding Gajah Tunggal 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 Gajah Tunggal 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 Gajah Tunggal 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 Gajah Tunggal i.e., Gajah Tunggal and Citra Marga go up and down completely randomly.
Pair Corralation between Gajah Tunggal and Citra Marga
Assuming the 90 days trading horizon Gajah Tunggal Tbk is expected to under-perform the Citra Marga. In addition to that, Gajah Tunggal is 6.41 times more volatile than Citra Marga Nusaphala. It trades about -0.07 of its total potential returns per unit of risk. Citra Marga Nusaphala is currently generating about -0.2 per unit of volatility. If you would invest 145,000 in Citra Marga Nusaphala on August 24, 2024 and sell it today you would lose (3,500) from holding Citra Marga Nusaphala or give up 2.41% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
Gajah Tunggal Tbk vs. Citra Marga Nusaphala
Performance |
| Timeline |
| Gajah Tunggal Tbk |
| Citra Marga Nusaphala |
Gajah Tunggal and Citra Marga Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Gajah Tunggal and Citra Marga
The main advantage of trading using opposite Gajah Tunggal and Citra Marga positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Gajah Tunggal 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.| Gajah Tunggal vs. Perusahaan Perkebunan London | Gajah Tunggal vs. Solusi Bangun Indonesia | Gajah Tunggal vs. Ciputra Development Tbk | Gajah Tunggal vs. Global Mediacom Tbk |
| Citra Marga vs. Berlian Laju Tanker | Citra Marga vs. Solusi Bangun Indonesia | Citra Marga vs. Kawasan Industri Jababeka | Citra Marga vs. Mnc Investama 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 Sign In To Macroaxis module to sign in to explore Macroaxis' wealth optimization platform and fintech modules.
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