Correlation Between Merdeka Copper and Nusa Konstruksi
Can any of the company-specific risk be diversified away by investing in both Merdeka Copper and Nusa Konstruksi 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 Merdeka Copper and Nusa Konstruksi into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Merdeka Copper Gold and Nusa Konstruksi Enjiniring, you can compare the effects of market volatilities on Merdeka Copper and Nusa Konstruksi 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 Merdeka Copper with a short position of Nusa Konstruksi. Check out your portfolio center. Please also check ongoing floating volatility patterns of Merdeka Copper and Nusa Konstruksi.
Diversification Opportunities for Merdeka Copper and Nusa Konstruksi
0.66 | Correlation Coefficient |
Poor diversification
The 3 months correlation between Merdeka and Nusa is 0.66. Overlapping area represents the amount of risk that can be diversified away by holding Merdeka Copper Gold and Nusa Konstruksi Enjiniring in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Nusa Konstruksi Enji and Merdeka Copper 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 Merdeka Copper Gold are associated (or correlated) with Nusa Konstruksi. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Nusa Konstruksi Enji has no effect on the direction of Merdeka Copper i.e., Merdeka Copper and Nusa Konstruksi go up and down completely randomly.
Pair Corralation between Merdeka Copper and Nusa Konstruksi
Assuming the 90 days trading horizon Merdeka Copper Gold is expected to under-perform the Nusa Konstruksi. In addition to that, Merdeka Copper is 2.06 times more volatile than Nusa Konstruksi Enjiniring. It trades about -0.17 of its total potential returns per unit of risk. Nusa Konstruksi Enjiniring is currently generating about -0.03 per unit of volatility. If you would invest 8,400 in Nusa Konstruksi Enjiniring on September 2, 2024 and sell it today you would lose (200.00) from holding Nusa Konstruksi Enjiniring or give up 2.38% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Merdeka Copper Gold vs. Nusa Konstruksi Enjiniring
Performance |
| Timeline |
| Merdeka Copper Gold |
| Nusa Konstruksi Enji |
Merdeka Copper and Nusa Konstruksi Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Merdeka Copper and Nusa Konstruksi
The main advantage of trading using opposite Merdeka Copper and Nusa Konstruksi positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Merdeka Copper position performs unexpectedly, Nusa Konstruksi 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 Nusa Konstruksi will offset losses from the drop in Nusa Konstruksi's long position.| Merdeka Copper vs. Perusahaan Gas Negara | Merdeka Copper vs. Telkom Indonesia Tbk | Merdeka Copper vs. Mitra Pinasthika Mustika | Merdeka Copper vs. Jakarta Int Hotels |
| Nusa Konstruksi vs. Matahari Department Store | Nusa Konstruksi vs. Multi Medika Internasional | Nusa Konstruksi vs. Visi Media Asia | Nusa Konstruksi 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 Optimization module to compute new portfolio that will generate highest expected return given your specified tolerance for risk.
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