Correlation Between Vale Indonesia and Indo Tambangraya
Can any of the company-specific risk be diversified away by investing in both Vale Indonesia and Indo Tambangraya 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 Vale Indonesia and Indo Tambangraya into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Vale Indonesia Tbk and Indo Tambangraya Megah, you can compare the effects of market volatilities on Vale Indonesia and Indo Tambangraya 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 Vale Indonesia with a short position of Indo Tambangraya. Check out your portfolio center. Please also check ongoing floating volatility patterns of Vale Indonesia and Indo Tambangraya.
Diversification Opportunities for Vale Indonesia and Indo Tambangraya
-0.17 | Correlation Coefficient |
Good diversification
The 3 months correlation between Vale and Indo is -0.17. Overlapping area represents the amount of risk that can be diversified away by holding Vale Indonesia Tbk and Indo Tambangraya Megah in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Indo Tambangraya Megah and Vale Indonesia 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 Vale Indonesia Tbk are associated (or correlated) with Indo Tambangraya. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Indo Tambangraya Megah has no effect on the direction of Vale Indonesia i.e., Vale Indonesia and Indo Tambangraya go up and down completely randomly.
Pair Corralation between Vale Indonesia and Indo Tambangraya
Assuming the 90 days trading horizon Vale Indonesia Tbk is expected to under-perform the Indo Tambangraya. In addition to that, Vale Indonesia is 1.16 times more volatile than Indo Tambangraya Megah. It trades about -0.06 of its total potential returns per unit of risk. Indo Tambangraya Megah is currently generating about 0.01 per unit of volatility. If you would invest 2,699,144 in Indo Tambangraya Megah on August 30, 2024 and sell it today you would earn a total of 43,356 from holding Indo Tambangraya Megah or generate 1.61% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Insignificant |
| Accuracy | 99.79% |
| Values | Daily Returns |
Vale Indonesia Tbk vs. Indo Tambangraya Megah
Performance |
| Timeline |
| Vale Indonesia Tbk |
| Indo Tambangraya Megah |
Vale Indonesia and Indo Tambangraya Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Vale Indonesia and Indo Tambangraya
The main advantage of trading using opposite Vale Indonesia and Indo Tambangraya positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Vale Indonesia position performs unexpectedly, Indo Tambangraya 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 Indo Tambangraya will offset losses from the drop in Indo Tambangraya's long position.| Vale Indonesia vs. Timah Persero Tbk | Vale Indonesia vs. Aneka Tambang Persero | Vale Indonesia vs. Bukit Asam Tbk | Vale Indonesia vs. Perusahaan Gas Negara |
| Indo Tambangraya vs. Bukit Asam Tbk | Indo Tambangraya vs. Adaro Energy Tbk | Indo Tambangraya vs. United Tractors Tbk | Indo Tambangraya vs. Vale Indonesia 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 Portfolio Anywhere module to track or share privately all of your investments from the convenience of any device.
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