Correlation Between Matahari Department and Transcoal Pacific
Can any of the company-specific risk be diversified away by investing in both Matahari Department and Transcoal Pacific 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 Transcoal Pacific 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 Transcoal Pacific Tbk, you can compare the effects of market volatilities on Matahari Department and Transcoal Pacific 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 Transcoal Pacific. Check out your portfolio center. Please also check ongoing floating volatility patterns of Matahari Department and Transcoal Pacific.
Diversification Opportunities for Matahari Department and Transcoal Pacific
0.13 | Correlation Coefficient |
Average diversification
The 3 months correlation between Matahari and Transcoal is 0.13. Overlapping area represents the amount of risk that can be diversified away by holding Matahari Department Store and Transcoal Pacific Tbk in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Transcoal Pacific 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 Transcoal Pacific. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Transcoal Pacific Tbk has no effect on the direction of Matahari Department i.e., Matahari Department and Transcoal Pacific go up and down completely randomly.
Pair Corralation between Matahari Department and Transcoal Pacific
Assuming the 90 days trading horizon Matahari Department Store is expected to under-perform the Transcoal Pacific. In addition to that, Matahari Department is 1.14 times more volatile than Transcoal Pacific Tbk. It trades about -0.16 of its total potential returns per unit of risk. Transcoal Pacific Tbk is currently generating about 0.04 per unit of volatility. If you would invest 720,000 in Transcoal Pacific Tbk on September 2, 2024 and sell it today you would earn a total of 22,500 from holding Transcoal Pacific Tbk or generate 3.13% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Insignificant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Matahari Department Store vs. Transcoal Pacific Tbk
Performance |
| Timeline |
| Matahari Department Store |
| Transcoal Pacific Tbk |
Matahari Department and Transcoal Pacific Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Matahari Department and Transcoal Pacific
The main advantage of trading using opposite Matahari Department and Transcoal Pacific positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Matahari Department position performs unexpectedly, Transcoal Pacific 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 Transcoal Pacific will offset losses from the drop in Transcoal Pacific'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 |
| Transcoal Pacific vs. Matahari Department Store | Transcoal Pacific vs. Multi Medika Internasional | Transcoal Pacific vs. Visi Media Asia | Transcoal Pacific 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 AI Portfolio Architect module to use AI to generate optimal portfolios and find profitable investment opportunities.
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