Correlation Between PT MNC and Matahari Department
Can any of the company-specific risk be diversified away by investing in both PT MNC 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 PT MNC and Matahari Department into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between PT MNC Energy and Matahari Department Store, you can compare the effects of market volatilities on PT MNC 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 PT MNC with a short position of Matahari Department. Check out your portfolio center. Please also check ongoing floating volatility patterns of PT MNC and Matahari Department.
Diversification Opportunities for PT MNC and Matahari Department
0.46 | Correlation Coefficient |
Very weak diversification
The 3 months correlation between IATA and Matahari is 0.46. Overlapping area represents the amount of risk that can be diversified away by holding PT MNC Energy 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 PT MNC 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 PT MNC Energy 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 PT MNC i.e., PT MNC and Matahari Department go up and down completely randomly.
Pair Corralation between PT MNC and Matahari Department
Assuming the 90 days trading horizon PT MNC Energy is expected to under-perform the Matahari Department. In addition to that, PT MNC is 1.63 times more volatile than Matahari Department Store. It trades about -0.11 of its total potential returns per unit of risk. Matahari Department Store is currently generating about -0.16 per unit of volatility. If you would invest 170,500 in Matahari Department Store on September 2, 2024 and sell it today you would lose (29,000) from holding Matahari Department Store or give up 17.01% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
PT MNC Energy vs. Matahari Department Store
Performance |
| Timeline |
| PT MNC Energy |
| Matahari Department Store |
PT MNC and Matahari Department Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with PT MNC and Matahari Department
The main advantage of trading using opposite PT MNC and Matahari Department positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if PT MNC 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.| PT MNC vs. Matahari Department Store | PT MNC vs. Multi Medika Internasional | PT MNC vs. Visi Media Asia | PT MNC vs. Bayan Resources Tbk |
| Matahari Department vs. Japfa Comfeed Indonesia | Matahari Department vs. Charoen Pokphand Indonesia | Matahari Department vs. Erajaya Swasembada Tbk | Matahari Department vs. Indofood Cbp Sukses |
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 Economic Indicators module to top statistical indicators that provide insights into how an economy is performing.
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