Correlation Between City Retail and Ciputra Development
Can any of the company-specific risk be diversified away by investing in both City Retail 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 City Retail and Ciputra Development into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between City Retail Developments and Ciputra Development Tbk, you can compare the effects of market volatilities on City Retail 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 City Retail with a short position of Ciputra Development. Check out your portfolio center. Please also check ongoing floating volatility patterns of City Retail and Ciputra Development.
Diversification Opportunities for City Retail and Ciputra Development
0.78 | Correlation Coefficient |
Poor diversification
The 3 months correlation between City and Ciputra is 0.78. Overlapping area represents the amount of risk that can be diversified away by holding City Retail Developments 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 City Retail 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 City Retail Developments 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 City Retail i.e., City Retail and Ciputra Development go up and down completely randomly.
Pair Corralation between City Retail and Ciputra Development
Assuming the 90 days trading horizon City Retail Developments is expected to generate 0.36 times more return on investment than Ciputra Development. However, City Retail Developments is 2.79 times less risky than Ciputra Development. It trades about -0.22 of its potential returns per unit of risk. Ciputra Development Tbk is currently generating about -0.16 per unit of risk. If you would invest 13,500 in City Retail Developments on September 13, 2024 and sell it today you would lose (600.00) from holding City Retail Developments or give up 4.44% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
City Retail Developments vs. Ciputra Development Tbk
Performance |
| Timeline |
| City Retail Developments |
| Ciputra Development Tbk |
City Retail and Ciputra Development Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with City Retail and Ciputra Development
The main advantage of trading using opposite City Retail and Ciputra Development positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if City Retail 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.| City Retail vs. Metropolitan Land Tbk | City Retail vs. Bekasi Fajar Industrial | City Retail vs. Greenwood Sejahtera Tbk | City Retail vs. Metropolitan Kentjana Tbk |
| Ciputra Development vs. Summarecon Agung Tbk | Ciputra Development vs. Bumi Serpong Damai | Ciputra Development vs. Adhi Karya Persero | Ciputra Development vs. Wijaya Karya Beton |
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 Efficient Frontier module to plot and analyze your portfolio and positions against risk-return landscape of the market..
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