Correlation Between Modernland Realty and Citra Marga
Can any of the company-specific risk be diversified away by investing in both Modernland Realty and Citra Marga 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 Modernland Realty and Citra Marga into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Modernland Realty Ltd and Citra Marga Nusaphala, you can compare the effects of market volatilities on Modernland Realty and Citra Marga 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 Modernland Realty with a short position of Citra Marga. Check out your portfolio center. Please also check ongoing floating volatility patterns of Modernland Realty and Citra Marga.
Diversification Opportunities for Modernland Realty and Citra Marga
-0.41 | Correlation Coefficient |
Very good diversification
The 3 months correlation between Modernland and Citra is -0.41. Overlapping area represents the amount of risk that can be diversified away by holding Modernland Realty Ltd and Citra Marga Nusaphala in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Citra Marga Nusaphala and Modernland Realty 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 Modernland Realty Ltd are associated (or correlated) with Citra Marga. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Citra Marga Nusaphala has no effect on the direction of Modernland Realty i.e., Modernland Realty and Citra Marga go up and down completely randomly.
Pair Corralation between Modernland Realty and Citra Marga
Assuming the 90 days trading horizon Modernland Realty Ltd is expected to under-perform the Citra Marga. In addition to that, Modernland Realty is 6.44 times more volatile than Citra Marga Nusaphala. It trades about -0.07 of its total potential returns per unit of risk. Citra Marga Nusaphala is currently generating about -0.1 per unit of volatility. If you would invest 143,500 in Citra Marga Nusaphala on September 1, 2024 and sell it today you would lose (2,000) from holding Citra Marga Nusaphala or give up 1.39% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Very Weak |
| Accuracy | 95.45% |
| Values | Daily Returns |
Modernland Realty Ltd vs. Citra Marga Nusaphala
Performance |
| Timeline |
| Modernland Realty |
| Citra Marga Nusaphala |
Modernland Realty and Citra Marga Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Modernland Realty and Citra Marga
The main advantage of trading using opposite Modernland Realty and Citra Marga positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Modernland Realty position performs unexpectedly, Citra Marga 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 Citra Marga will offset losses from the drop in Citra Marga's long position.| Modernland Realty vs. Lippo Cikarang Tbk | Modernland Realty vs. Lippo Karawaci Tbk | Modernland Realty vs. Intiland Development Tbk | Modernland Realty vs. Mitra Pinasthika Mustika |
| Citra Marga vs. Berlian Laju Tanker | Citra Marga vs. Solusi Bangun Indonesia | Citra Marga vs. Kawasan Industri Jababeka | Citra Marga vs. Mnc Investama 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 Idea Analyzer module to analyze all characteristics, volatility and risk-adjusted return of Macroaxis ideas.
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