Correlation Between Metropolitan Land and Ciputra Development
Can any of the company-specific risk be diversified away by investing in both Metropolitan Land and Ciputra Development 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 Metropolitan Land and Ciputra Development into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Metropolitan Land Tbk and Ciputra Development Tbk, you can compare the effects of market volatilities on Metropolitan Land and Ciputra Development 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 Metropolitan Land with a short position of Ciputra Development. Check out your portfolio center. Please also check ongoing floating volatility patterns of Metropolitan Land and Ciputra Development.
Diversification Opportunities for Metropolitan Land and Ciputra Development
0.73 | Correlation Coefficient |
Poor diversification
The 3 months correlation between Metropolitan and Ciputra is 0.73. Overlapping area represents the amount of risk that can be diversified away by holding Metropolitan Land Tbk and Ciputra Development Tbk in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Ciputra Development Tbk and Metropolitan Land 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 Metropolitan Land Tbk are associated (or correlated) with Ciputra Development. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Ciputra Development Tbk has no effect on the direction of Metropolitan Land i.e., Metropolitan Land and Ciputra Development go up and down completely randomly.
Pair Corralation between Metropolitan Land and Ciputra Development
Assuming the 90 days trading horizon Metropolitan Land Tbk is expected to generate 0.4 times more return on investment than Ciputra Development. However, Metropolitan Land Tbk is 2.51 times less risky than Ciputra Development. It trades about 0.15 of its potential returns per unit of risk. Ciputra Development Tbk is currently generating about -0.1 per unit of risk. If you would invest 40,200 in Metropolitan Land Tbk on September 12, 2024 and sell it today you would earn a total of 1,400 from holding Metropolitan Land Tbk or generate 3.48% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Metropolitan Land Tbk vs. Ciputra Development Tbk
Performance |
| Timeline |
| Metropolitan Land Tbk |
| Ciputra Development Tbk |
Metropolitan Land and Ciputra Development Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Metropolitan Land and Ciputra Development
The main advantage of trading using opposite Metropolitan Land and Ciputra Development positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Metropolitan Land position performs unexpectedly, Ciputra Development 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 Ciputra Development will offset losses from the drop in Ciputra Development's long position.| Metropolitan Land vs. Ciputra Development Tbk | Metropolitan Land vs. Bumi Serpong Damai | Metropolitan Land vs. Alam Sutera Realty | Metropolitan Land vs. Lippo Karawaci Tbk |
| Ciputra Development vs. Bumi Serpong Damai | Ciputra Development vs. Alam Sutera Realty | Ciputra Development vs. Lippo Karawaci Tbk |
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 Transaction History module to view history of all your transactions and understand their impact on performance.
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