Correlation Between Media Nusantara and Surya Citra
Can any of the company-specific risk be diversified away by investing in both Media Nusantara and Surya Citra 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 Media Nusantara and Surya Citra into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Media Nusantara Citra and Surya Citra Media, you can compare the effects of market volatilities on Media Nusantara and Surya Citra 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 Media Nusantara with a short position of Surya Citra. Check out your portfolio center. Please also check ongoing floating volatility patterns of Media Nusantara and Surya Citra.
Diversification Opportunities for Media Nusantara and Surya Citra
0.19 | Correlation Coefficient |
Average diversification
The 3 months correlation between Media and Surya is 0.19. Overlapping area represents the amount of risk that can be diversified away by holding Media Nusantara Citra and Surya Citra Media in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Surya Citra Media and Media Nusantara 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 Media Nusantara Citra are associated (or correlated) with Surya Citra. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Surya Citra Media has no effect on the direction of Media Nusantara i.e., Media Nusantara and Surya Citra go up and down completely randomly.
Pair Corralation between Media Nusantara and Surya Citra
Assuming the 90 days trading horizon Media Nusantara Citra is expected to generate 1.23 times more return on investment than Surya Citra. However, Media Nusantara is 1.23 times more volatile than Surya Citra Media. It trades about -0.01 of its potential returns per unit of risk. Surya Citra Media is currently generating about -0.02 per unit of risk. If you would invest 35,800 in Media Nusantara Citra on August 28, 2024 and sell it today you would lose (5,200) from holding Media Nusantara Citra or give up 14.53% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Insignificant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Media Nusantara Citra vs. Surya Citra Media
Performance |
| Timeline |
| Media Nusantara Citra |
| Surya Citra Media |
Media Nusantara and Surya Citra Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Media Nusantara and Surya Citra
The main advantage of trading using opposite Media Nusantara and Surya Citra positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Media Nusantara position performs unexpectedly, Surya Citra 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 Surya Citra will offset losses from the drop in Surya Citra's long position.| Media Nusantara vs. Global Mediacom Tbk | Media Nusantara vs. Surya Citra Media | Media Nusantara vs. Akr Corporindo Tbk | Media Nusantara vs. Bumi Serpong Damai |
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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 Insider Screener module to find insiders across different sectors to evaluate their impact on performance.
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