Correlation Between Matahari Department and Surya Citra
Can any of the company-specific risk be diversified away by investing in both Matahari Department and Surya Citra 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 Surya Citra 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 Surya Citra Media, you can compare the effects of market volatilities on Matahari Department and Surya Citra 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 Surya Citra. Check out your portfolio center. Please also check ongoing floating volatility patterns of Matahari Department and Surya Citra.
Diversification Opportunities for Matahari Department and Surya Citra
-0.05 | Correlation Coefficient |
Good diversification
The 3 months correlation between Matahari and Surya is -0.05. Overlapping area represents the amount of risk that can be diversified away by holding Matahari Department Store and Surya Citra Media in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Surya Citra Media 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 Surya Citra. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Surya Citra Media has no effect on the direction of Matahari Department i.e., Matahari Department and Surya Citra go up and down completely randomly.
Pair Corralation between Matahari Department and Surya Citra
Assuming the 90 days trading horizon Matahari Department is expected to generate 1.18 times less return on investment than Surya Citra. But when comparing it to its historical volatility, Matahari Department Store is 3.16 times less risky than Surya Citra. It trades about 0.38 of its potential returns per unit of risk. Surya Citra Media is currently generating about 0.14 of returns per unit of risk over similar time horizon. If you would invest 16,300 in Surya Citra Media on October 24, 2024 and sell it today you would earn a total of 1,500 from holding Surya Citra Media or generate 9.2% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Insignificant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Matahari Department Store vs. Surya Citra Media
Performance |
| Timeline |
| Matahari Department Store |
| Surya Citra Media |
Matahari Department and Surya Citra Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Matahari Department and Surya Citra
The main advantage of trading using opposite Matahari Department and Surya Citra positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Matahari Department position performs unexpectedly, Surya Citra 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 Surya Citra will offset losses from the drop in Surya Citra'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 |
| Surya Citra vs. Media Nusantara Citra | Surya Citra vs. Matahari Department Store | Surya Citra vs. Akr Corporindo Tbk | Surya Citra vs. XL Axiata 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 Financial Widgets module to easily integrated Macroaxis content with over 30 different plug-and-play financial widgets.
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