Correlation Between Mitrabara Adiperdana and Pembangunan Jaya
Can any of the company-specific risk be diversified away by investing in both Mitrabara Adiperdana and Pembangunan Jaya 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 Mitrabara Adiperdana and Pembangunan Jaya into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Mitrabara Adiperdana PT and Pembangunan Jaya Ancol, you can compare the effects of market volatilities on Mitrabara Adiperdana and Pembangunan Jaya 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 Mitrabara Adiperdana with a short position of Pembangunan Jaya. Check out your portfolio center. Please also check ongoing floating volatility patterns of Mitrabara Adiperdana and Pembangunan Jaya.
Diversification Opportunities for Mitrabara Adiperdana and Pembangunan Jaya
0.89 | Correlation Coefficient |
Very poor diversification
The 3 months correlation between Mitrabara and Pembangunan is 0.89. Overlapping area represents the amount of risk that can be diversified away by holding Mitrabara Adiperdana PT and Pembangunan Jaya Ancol in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Pembangunan Jaya Ancol and Mitrabara Adiperdana 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 Mitrabara Adiperdana PT are associated (or correlated) with Pembangunan Jaya. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Pembangunan Jaya Ancol has no effect on the direction of Mitrabara Adiperdana i.e., Mitrabara Adiperdana and Pembangunan Jaya go up and down completely randomly.
Pair Corralation between Mitrabara Adiperdana and Pembangunan Jaya
Assuming the 90 days trading horizon Mitrabara Adiperdana PT is expected to under-perform the Pembangunan Jaya. In addition to that, Mitrabara Adiperdana is 1.92 times more volatile than Pembangunan Jaya Ancol. It trades about -0.12 of its total potential returns per unit of risk. Pembangunan Jaya Ancol is currently generating about -0.2 per unit of volatility. If you would invest 61,500 in Pembangunan Jaya Ancol on September 13, 2024 and sell it today you would lose (2,500) from holding Pembangunan Jaya Ancol or give up 4.07% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
Mitrabara Adiperdana PT vs. Pembangunan Jaya Ancol
Performance |
| Timeline |
| Mitrabara Adiperdana |
| Pembangunan Jaya Ancol |
Mitrabara Adiperdana and Pembangunan Jaya Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Mitrabara Adiperdana and Pembangunan Jaya
The main advantage of trading using opposite Mitrabara Adiperdana and Pembangunan Jaya positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Mitrabara Adiperdana position performs unexpectedly, Pembangunan Jaya 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 Pembangunan Jaya will offset losses from the drop in Pembangunan Jaya's long position.| Mitrabara Adiperdana vs. Baramulti Suksessarana Tbk | Mitrabara Adiperdana vs. Samindo Resources Tbk | Mitrabara Adiperdana vs. Hexindo Adiperkasa Tbk | Mitrabara Adiperdana vs. Mitra Pinasthika Mustika |
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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 Analyzer module to portfolio analysis module that provides access to portfolio diagnostics and optimization engine.
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