Correlation Between Merck Tbk and Siantar Top
Can any of the company-specific risk be diversified away by investing in both Merck Tbk and Siantar Top 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 Merck Tbk and Siantar Top into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Merck Tbk and Siantar Top Tbk, you can compare the effects of market volatilities on Merck Tbk and Siantar Top 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 Merck Tbk with a short position of Siantar Top. Check out your portfolio center. Please also check ongoing floating volatility patterns of Merck Tbk and Siantar Top.
Diversification Opportunities for Merck Tbk and Siantar Top
-0.14 | Correlation Coefficient |
Good diversification
The 3 months correlation between Merck and Siantar is -0.14. Overlapping area represents the amount of risk that can be diversified away by holding Merck Tbk and Siantar Top Tbk in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Siantar Top Tbk and Merck Tbk 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 Merck Tbk are associated (or correlated) with Siantar Top. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Siantar Top Tbk has no effect on the direction of Merck Tbk i.e., Merck Tbk and Siantar Top go up and down completely randomly.
Pair Corralation between Merck Tbk and Siantar Top
Assuming the 90 days trading horizon Merck Tbk is expected to under-perform the Siantar Top. But the stock apears to be less risky and, when comparing its historical volatility, Merck Tbk is 4.38 times less risky than Siantar Top. The stock trades about -0.05 of its potential returns per unit of risk. The Siantar Top Tbk is currently generating about 0.06 of returns per unit of risk over similar time horizon. If you would invest 750,000 in Siantar Top Tbk on August 27, 2024 and sell it today you would earn a total of 670,000 from holding Siantar Top Tbk or generate 89.33% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Insignificant |
| Accuracy | 99.58% |
| Values | Daily Returns |
Merck Tbk vs. Siantar Top Tbk
Performance |
| Timeline |
| Merck Tbk |
| Siantar Top Tbk |
Merck Tbk and Siantar Top Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Merck Tbk and Siantar Top
The main advantage of trading using opposite Merck Tbk and Siantar Top positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Merck Tbk position performs unexpectedly, Siantar Top 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 Siantar Top will offset losses from the drop in Siantar Top's long position.| Merck Tbk vs. Astra Graphia Tbk | Merck Tbk vs. Hexindo Adiperkasa Tbk | Merck Tbk vs. Lautan Luas Tbk | Merck Tbk vs. Citra Marga Nusaphala |
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 Watchlist Optimization module to optimize watchlists to build efficient portfolios or rebalance existing positions based on the mean-variance optimization algorithm.
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