Correlation Between Matahari Department and PP Presisi
Can any of the company-specific risk be diversified away by investing in both Matahari Department and PP Presisi 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 PP Presisi 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 PP Presisi Tbk, you can compare the effects of market volatilities on Matahari Department and PP Presisi 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 PP Presisi. Check out your portfolio center. Please also check ongoing floating volatility patterns of Matahari Department and PP Presisi.
Diversification Opportunities for Matahari Department and PP Presisi
0.83 | Correlation Coefficient |
Very poor diversification
The 3 months correlation between Matahari and PPRE is 0.83. Overlapping area represents the amount of risk that can be diversified away by holding Matahari Department Store and PP Presisi Tbk in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on PP Presisi Tbk 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 PP Presisi. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of PP Presisi Tbk has no effect on the direction of Matahari Department i.e., Matahari Department and PP Presisi go up and down completely randomly.
Pair Corralation between Matahari Department and PP Presisi
Assuming the 90 days trading horizon Matahari Department Store is expected to under-perform the PP Presisi. But the stock apears to be less risky and, when comparing its historical volatility, Matahari Department Store is 1.22 times less risky than PP Presisi. The stock trades about -0.07 of its potential returns per unit of risk. The PP Presisi Tbk is currently generating about -0.04 of returns per unit of risk over similar time horizon. If you would invest 12,800 in PP Presisi Tbk on September 2, 2024 and sell it today you would lose (6,700) from holding PP Presisi Tbk or give up 52.34% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Strong |
| Accuracy | 99.79% |
| Values | Daily Returns |
Matahari Department Store vs. PP Presisi Tbk
Performance |
| Timeline |
| Matahari Department Store |
| PP Presisi Tbk |
Matahari Department and PP Presisi Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Matahari Department and PP Presisi
The main advantage of trading using opposite Matahari Department and PP Presisi positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Matahari Department position performs unexpectedly, PP Presisi 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 PP Presisi will offset losses from the drop in PP Presisi's long position.| Matahari Department vs. Japfa Comfeed Indonesia | Matahari Department vs. Charoen Pokphand Indonesia | Matahari Department vs. Erajaya Swasembada Tbk | Matahari Department vs. Indofood Cbp Sukses |
| PP Presisi vs. Matahari Department Store | PP Presisi vs. Multi Medika Internasional | PP Presisi vs. Visi Media Asia | PP Presisi vs. Bayan Resources 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 Volatility module to check portfolio volatility and analyze historical return density to properly model market risk.
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