Correlation Between Matahari Department and Media Nusantara
Can any of the company-specific risk be diversified away by investing in both Matahari Department and Media Nusantara 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 Matahari Department and Media Nusantara into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Matahari Department Store and Media Nusantara Citra, you can compare the effects of market volatilities on Matahari Department 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 Matahari Department with a short position of Media Nusantara. Check out your portfolio center. Please also check ongoing floating volatility patterns of Matahari Department and Media Nusantara.
Diversification Opportunities for Matahari Department and Media Nusantara
0.5 | Correlation Coefficient |
Very weak diversification
The 3 months correlation between Matahari and Media is 0.5. Overlapping area represents the amount of risk that can be diversified away by holding Matahari Department Store 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 Matahari Department 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 Matahari Department Store 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 Matahari Department i.e., Matahari Department and Media Nusantara go up and down completely randomly.
Pair Corralation between Matahari Department and Media Nusantara
Assuming the 90 days trading horizon Matahari Department Store is expected to under-perform the Media Nusantara. But the stock apears to be less risky and, when comparing its historical volatility, Matahari Department Store is 1.5 times less risky than Media Nusantara. The stock trades about -0.45 of its potential returns per unit of risk. The Media Nusantara Citra is currently generating about -0.21 of returns per unit of risk over similar time horizon. If you would invest 33,400 in Media Nusantara Citra on August 24, 2024 and sell it today you would lose (3,400) from holding Media Nusantara Citra or give up 10.18% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Weak |
| Accuracy | 95.65% |
| Values | Daily Returns |
Matahari Department Store vs. Media Nusantara Citra
Performance |
| Timeline |
| Matahari Department Store |
| Media Nusantara Citra |
Matahari Department and Media Nusantara Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Matahari Department and Media Nusantara
The main advantage of trading using opposite Matahari Department and Media Nusantara positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Matahari Department 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.| Matahari Department vs. Surya Citra Media | Matahari Department vs. Akr Corporindo Tbk | Matahari Department vs. Media Nusantara Citra | Matahari Department vs. Pembangunan Perumahan PT |
| Media Nusantara vs. Global Mediacom Tbk | Media Nusantara vs. Surya Citra Media | Media Nusantara vs. Akr Corporindo Tbk | Media Nusantara vs. Bumi Serpong Damai |
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 Equity Valuation module to check real value of public entities based on technical and fundamental data.
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