Correlation Between Mitrabara Adiperdana and Wijaya Karya
Can any of the company-specific risk be diversified away by investing in both Mitrabara Adiperdana and Wijaya Karya 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 Wijaya Karya 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 Wijaya Karya Bangunan, you can compare the effects of market volatilities on Mitrabara Adiperdana and Wijaya Karya 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 Wijaya Karya. Check out your portfolio center. Please also check ongoing floating volatility patterns of Mitrabara Adiperdana and Wijaya Karya.
Diversification Opportunities for Mitrabara Adiperdana and Wijaya Karya
0.95 | Correlation Coefficient |
Almost no diversification
The 3 months correlation between Mitrabara and Wijaya is 0.95. Overlapping area represents the amount of risk that can be diversified away by holding Mitrabara Adiperdana PT and Wijaya Karya Bangunan in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Wijaya Karya Bangunan 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 Wijaya Karya. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Wijaya Karya Bangunan has no effect on the direction of Mitrabara Adiperdana i.e., Mitrabara Adiperdana and Wijaya Karya go up and down completely randomly.
Pair Corralation between Mitrabara Adiperdana and Wijaya Karya
Assuming the 90 days trading horizon Mitrabara Adiperdana PT is expected to generate 1.34 times more return on investment than Wijaya Karya. However, Mitrabara Adiperdana is 1.34 times more volatile than Wijaya Karya Bangunan. It trades about -0.16 of its potential returns per unit of risk. Wijaya Karya Bangunan is currently generating about -0.46 per unit of risk. If you would invest 300,000 in Mitrabara Adiperdana PT on September 19, 2024 and sell it today you would lose (18,000) from holding Mitrabara Adiperdana PT or give up 6.0% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
Mitrabara Adiperdana PT vs. Wijaya Karya Bangunan
Performance |
| Timeline |
| Mitrabara Adiperdana |
| Wijaya Karya Bangunan |
Mitrabara Adiperdana and Wijaya Karya Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Mitrabara Adiperdana and Wijaya Karya
The main advantage of trading using opposite Mitrabara Adiperdana and Wijaya Karya positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Mitrabara Adiperdana position performs unexpectedly, Wijaya Karya 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 Wijaya Karya will offset losses from the drop in Wijaya Karya's long position.| Mitrabara Adiperdana vs. Harum Energy Tbk | Mitrabara Adiperdana vs. Delta Dunia Makmur | Mitrabara Adiperdana vs. Adi Sarana Armada | Mitrabara Adiperdana vs. Elang Mahkota Teknologi |
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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 Price Exposure Probability module to analyze equity upside and downside potential for a given time horizon across multiple markets.
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