Correlation Between Modern Internasional and Humpuss Intermoda
Can any of the company-specific risk be diversified away by investing in both Modern Internasional and Humpuss Intermoda 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 Modern Internasional and Humpuss Intermoda into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Modern Internasional Tbk and Humpuss Intermoda Transportasi, you can compare the effects of market volatilities on Modern Internasional and Humpuss Intermoda 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 Modern Internasional with a short position of Humpuss Intermoda. Check out your portfolio center. Please also check ongoing floating volatility patterns of Modern Internasional and Humpuss Intermoda.
Diversification Opportunities for Modern Internasional and Humpuss Intermoda
-0.8 | Correlation Coefficient |
Pay attention - limited upside
The 3 months correlation between Modern and Humpuss is -0.8. Overlapping area represents the amount of risk that can be diversified away by holding Modern Internasional Tbk and Humpuss Intermoda Transportasi in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Humpuss Intermoda and Modern Internasional 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 Modern Internasional Tbk are associated (or correlated) with Humpuss Intermoda. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Humpuss Intermoda has no effect on the direction of Modern Internasional i.e., Modern Internasional and Humpuss Intermoda go up and down completely randomly.
Pair Corralation between Modern Internasional and Humpuss Intermoda
Assuming the 90 days trading horizon Modern Internasional Tbk is expected to under-perform the Humpuss Intermoda. But the stock apears to be less risky and, when comparing its historical volatility, Modern Internasional Tbk is 1.02 times less risky than Humpuss Intermoda. The stock trades about -0.1 of its potential returns per unit of risk. The Humpuss Intermoda Transportasi is currently generating about 0.24 of returns per unit of risk over similar time horizon. If you would invest 32,600 in Humpuss Intermoda Transportasi on September 2, 2024 and sell it today you would earn a total of 10,000 from holding Humpuss Intermoda Transportasi or generate 30.67% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Modern Internasional Tbk vs. Humpuss Intermoda Transportasi
Performance |
| Timeline |
| Modern Internasional Tbk |
| Humpuss Intermoda |
Modern Internasional and Humpuss Intermoda Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Modern Internasional and Humpuss Intermoda
The main advantage of trading using opposite Modern Internasional and Humpuss Intermoda positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Modern Internasional position performs unexpectedly, Humpuss Intermoda 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 Humpuss Intermoda will offset losses from the drop in Humpuss Intermoda's long position.The idea behind Modern Internasional Tbk and Humpuss Intermoda Transportasi pairs trading is to make the combined position market-neutral, meaning the overall market's direction will not affect its win or loss (or potential downside or upside). This can be achieved by designing a pairs trade with two highly correlated stocks or equities that operate in a similar space or sector, making it possible to obtain profits through simple and relatively low-risk investment.
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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 Idea Optimizer module to use advanced portfolio builder with pre-computed micro ideas to build optimal portfolio .
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