Correlation Between Mustika Ratu and Multi Bintang
Can any of the company-specific risk be diversified away by investing in both Mustika Ratu and Multi Bintang 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 Multi Bintang 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 Multi Bintang Indonesia, you can compare the effects of market volatilities on Mustika Ratu and Multi Bintang 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 Multi Bintang. Check out your portfolio center. Please also check ongoing floating volatility patterns of Mustika Ratu and Multi Bintang.
Diversification Opportunities for Mustika Ratu and Multi Bintang
-0.63 | Correlation Coefficient |
Excellent diversification
The 3 months correlation between Mustika and Multi is -0.63. Overlapping area represents the amount of risk that can be diversified away by holding Mustika Ratu Tbk and Multi Bintang Indonesia in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Multi Bintang Indonesia 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 Multi Bintang. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Multi Bintang Indonesia has no effect on the direction of Mustika Ratu i.e., Mustika Ratu and Multi Bintang go up and down completely randomly.
Pair Corralation between Mustika Ratu and Multi Bintang
Assuming the 90 days trading horizon Mustika Ratu Tbk is expected to under-perform the Multi Bintang. In addition to that, Mustika Ratu is 2.63 times more volatile than Multi Bintang Indonesia. It trades about -0.09 of its total potential returns per unit of risk. Multi Bintang Indonesia is currently generating about -0.05 per unit of volatility. If you would invest 749,312 in Multi Bintang Indonesia on August 24, 2024 and sell it today you would lose (101,812) from holding Multi Bintang Indonesia or give up 13.59% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
Mustika Ratu Tbk vs. Multi Bintang Indonesia
Performance |
| Timeline |
| Mustika Ratu Tbk |
| Multi Bintang Indonesia |
Mustika Ratu and Multi Bintang Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Mustika Ratu and Multi Bintang
The main advantage of trading using opposite Mustika Ratu and Multi Bintang positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Mustika Ratu position performs unexpectedly, Multi Bintang 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 Multi Bintang will offset losses from the drop in Multi Bintang's long position.| Mustika Ratu vs. Unilever Indonesia Tbk | Mustika Ratu vs. PT Indofood Sukses | Mustika Ratu vs. Astra International Tbk | Mustika Ratu vs. Telkom Indonesia Tbk |
| Multi Bintang vs. Delta Djakarta Tbk | Multi Bintang vs. Merck Tbk | Multi Bintang vs. Mayora Indah Tbk | Multi Bintang vs. Ultra Jaya Milk |
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 Transformation module to use Price Transformation models to analyze the depth of different equity instruments across global markets.
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