Correlation Between Modern Internasional and Merck Tbk
Can any of the company-specific risk be diversified away by investing in both Modern Internasional and Merck Tbk 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 Merck Tbk 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 Merck Tbk, you can compare the effects of market volatilities on Modern Internasional and Merck Tbk 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 Merck Tbk. Check out your portfolio center. Please also check ongoing floating volatility patterns of Modern Internasional and Merck Tbk.
Diversification Opportunities for Modern Internasional and Merck Tbk
0.61 | Correlation Coefficient |
Poor diversification
The 3 months correlation between Modern and Merck is 0.61. Overlapping area represents the amount of risk that can be diversified away by holding Modern Internasional Tbk and Merck Tbk in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Merck Tbk 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 Merck Tbk. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Merck Tbk has no effect on the direction of Modern Internasional i.e., Modern Internasional and Merck Tbk go up and down completely randomly.
Pair Corralation between Modern Internasional and Merck Tbk
Assuming the 90 days trading horizon Modern Internasional Tbk is expected to generate 12.25 times more return on investment than Merck Tbk. However, Modern Internasional is 12.25 times more volatile than Merck Tbk. It trades about 0.04 of its potential returns per unit of risk. Merck Tbk is currently generating about -0.08 per unit of risk. If you would invest 600.00 in Modern Internasional Tbk on August 27, 2024 and sell it today you would lose (100.00) from holding Modern Internasional Tbk or give up 16.67% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Modern Internasional Tbk vs. Merck Tbk
Performance |
| Timeline |
| Modern Internasional Tbk |
| Merck Tbk |
Modern Internasional and Merck Tbk Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Modern Internasional and Merck Tbk
The main advantage of trading using opposite Modern Internasional and Merck Tbk positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Modern Internasional position performs unexpectedly, Merck Tbk 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 Merck Tbk will offset losses from the drop in Merck Tbk's long position.| Modern Internasional vs. Astra Graphia Tbk | Modern Internasional vs. Hexindo Adiperkasa Tbk | Modern Internasional vs. Lautan Luas Tbk | Modern Internasional vs. Citra Marga Nusaphala |
| Merck Tbk vs. Darya Varia Laboratoria Tbk | Merck Tbk vs. Tempo Scan Pacific | Merck Tbk vs. Pyridam Farma Tbk | Merck Tbk vs. Multi Bintang Indonesia |
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 ETF Categories module to list of ETF categories grouped based on various criteria, such as the investment strategy or type of investments.
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