Correlation Between IDX 30 and Media Nusantara
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By analyzing existing cross correlation between IDX 30 Jakarta and Media Nusantara Citra, you can compare the effects of market volatilities on IDX 30 and Media Nusantara 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 IDX 30 with a short position of Media Nusantara. Check out your portfolio center. Please also check ongoing floating volatility patterns of IDX 30 and Media Nusantara.
Diversification Opportunities for IDX 30 and Media Nusantara
0.6 | Correlation Coefficient |
Poor diversification
The 3 months correlation between IDX and Media is 0.6. Overlapping area represents the amount of risk that can be diversified away by holding IDX 30 Jakarta and Media Nusantara Citra in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Media Nusantara Citra and IDX 30 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 IDX 30 Jakarta are associated (or correlated) with Media Nusantara. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Media Nusantara Citra has no effect on the direction of IDX 30 i.e., IDX 30 and Media Nusantara go up and down completely randomly.
Pair Corralation between IDX 30 and Media Nusantara
Assuming the 90 days trading horizon IDX 30 Jakarta is expected to under-perform the Media Nusantara. But the index apears to be less risky and, when comparing its historical volatility, IDX 30 Jakarta is 2.16 times less risky than Media Nusantara. The index trades about -0.22 of its potential returns per unit of risk. The Media Nusantara Citra is currently generating about -0.07 of returns per unit of risk over similar time horizon. If you would invest 31,800 in Media Nusantara Citra on August 27, 2024 and sell it today you would lose (1,200) from holding Media Nusantara Citra or give up 3.77% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
IDX 30 Jakarta vs. Media Nusantara Citra
Performance |
| Timeline |
IDX 30 and Media Nusantara Volatility Contrast
Predicted Return Density |
| Returns |
IDX 30 Jakarta
Pair trading matchups for IDX 30
Media Nusantara Citra
Pair trading matchups for Media Nusantara
Pair Trading with IDX 30 and Media Nusantara
The main advantage of trading using opposite IDX 30 and Media Nusantara positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if IDX 30 position performs unexpectedly, Media Nusantara 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 Media Nusantara will offset losses from the drop in Media Nusantara's long position.| IDX 30 vs. Lion Metal Works | IDX 30 vs. Indointernet Tbk PT | IDX 30 vs. Enseval Putra Megatrading | IDX 30 vs. Surya Citra Media |
| Media Nusantara vs. Mnc Land Tbk | Media Nusantara vs. MNC Vision Networks | Media Nusantara vs. Medikaloka Hermina 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 Holdings module to check your current holdings and cash postion to detemine if your portfolio needs rebalancing.
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