Correlation Between PT Indofood and INDOFOOD AGRI
Can any of the company-specific risk be diversified away by investing in both PT Indofood and INDOFOOD AGRI 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 Indofood and INDOFOOD AGRI into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between PT Indofood Sukses and INDOFOOD AGRI RES, you can compare the effects of market volatilities on PT Indofood and INDOFOOD AGRI 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 Indofood with a short position of INDOFOOD AGRI. Check out your portfolio center. Please also check ongoing floating volatility patterns of PT Indofood and INDOFOOD AGRI.
Diversification Opportunities for PT Indofood and INDOFOOD AGRI
0.01 | Correlation Coefficient |
Significant diversification
The 3 months correlation between ISM and INDOFOOD is 0.01. Overlapping area represents the amount of risk that can be diversified away by holding PT Indofood Sukses and INDOFOOD AGRI RES in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on INDOFOOD AGRI RES and PT Indofood 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 Indofood Sukses are associated (or correlated) with INDOFOOD AGRI. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of INDOFOOD AGRI RES has no effect on the direction of PT Indofood i.e., PT Indofood and INDOFOOD AGRI go up and down completely randomly.
Pair Corralation between PT Indofood and INDOFOOD AGRI
Assuming the 90 days horizon PT Indofood Sukses is expected to generate 1.36 times more return on investment than INDOFOOD AGRI. However, PT Indofood is 1.36 times more volatile than INDOFOOD AGRI RES. It trades about 0.05 of its potential returns per unit of risk. INDOFOOD AGRI RES is currently generating about -0.14 per unit of risk. If you would invest 43.00 in PT Indofood Sukses on November 27, 2024 and sell it today you would earn a total of 1.00 from holding PT Indofood Sukses or generate 2.33% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Insignificant |
| Accuracy | 100.0% |
| Values | Daily Returns |
PT Indofood Sukses vs. INDOFOOD AGRI RES
Performance |
| Timeline |
| PT Indofood Sukses |
| INDOFOOD AGRI RES |
PT Indofood and INDOFOOD AGRI Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with PT Indofood and INDOFOOD AGRI
The main advantage of trading using opposite PT Indofood and INDOFOOD AGRI positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if PT Indofood position performs unexpectedly, INDOFOOD AGRI 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 INDOFOOD AGRI will offset losses from the drop in INDOFOOD AGRI's long position.| PT Indofood vs. Arrow Electronics | PT Indofood vs. Nucletron Electronic Aktiengesellschaft | PT Indofood vs. UET United Electronic | PT Indofood vs. KIMBALL ELECTRONICS |
| INDOFOOD AGRI vs. THAI BEVERAGE | INDOFOOD AGRI vs. BIOPHARMA CREDIT DL | INDOFOOD AGRI vs. Carnegie Clean Energy | INDOFOOD AGRI vs. Discover Financial Services |
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 Watchlist Optimization module to optimize watchlists to build efficient portfolios or rebalance existing positions based on the mean-variance optimization algorithm.
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