Correlation Between Mustika Ratu and Vale Indonesia
Can any of the company-specific risk be diversified away by investing in both Mustika Ratu and Vale Indonesia 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 Mustika Ratu and Vale Indonesia into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Mustika Ratu Tbk and Vale Indonesia Tbk, you can compare the effects of market volatilities on Mustika Ratu and Vale Indonesia 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 Mustika Ratu with a short position of Vale Indonesia. Check out your portfolio center. Please also check ongoing floating volatility patterns of Mustika Ratu and Vale Indonesia.
Diversification Opportunities for Mustika Ratu and Vale Indonesia
0.01 | Correlation Coefficient |
Significant diversification
The 3 months correlation between Mustika and Vale is 0.01. Overlapping area represents the amount of risk that can be diversified away by holding Mustika Ratu Tbk and Vale Indonesia Tbk in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Vale Indonesia Tbk and Mustika Ratu 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 Mustika Ratu Tbk are associated (or correlated) with Vale Indonesia. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Vale Indonesia Tbk has no effect on the direction of Mustika Ratu i.e., Mustika Ratu and Vale Indonesia go up and down completely randomly.
Pair Corralation between Mustika Ratu and Vale Indonesia
Assuming the 90 days trading horizon Mustika Ratu Tbk is expected to under-perform the Vale Indonesia. In addition to that, Mustika Ratu is 1.45 times more volatile than Vale Indonesia Tbk. It trades about -0.27 of its total potential returns per unit of risk. Vale Indonesia Tbk is currently generating about -0.24 per unit of volatility. If you would invest 399,000 in Vale Indonesia Tbk on August 30, 2024 and sell it today you would lose (34,000) from holding Vale Indonesia Tbk or give up 8.52% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Insignificant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Mustika Ratu Tbk vs. Vale Indonesia Tbk
Performance |
| Timeline |
| Mustika Ratu Tbk |
| Vale Indonesia Tbk |
Mustika Ratu and Vale Indonesia Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Mustika Ratu and Vale Indonesia
The main advantage of trading using opposite Mustika Ratu and Vale Indonesia positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Mustika Ratu position performs unexpectedly, Vale Indonesia 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 Vale Indonesia will offset losses from the drop in Vale Indonesia's long position.| Mustika Ratu vs. Pyridam Farma Tbk | Mustika Ratu vs. Mandom Indonesia Tbk | Mustika Ratu vs. Langgeng Makmur Industri | Mustika Ratu vs. Merck Tbk |
| Vale Indonesia vs. Timah Persero Tbk | Vale Indonesia vs. Aneka Tambang Persero | Vale Indonesia vs. Bukit Asam Tbk | Vale Indonesia vs. Perusahaan Gas Negara |
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 Price Exposure Probability module to analyze equity upside and downside potential for a given time horizon across multiple markets.
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