Correlation Between Nusa Raya and Acset Indonusa
Can any of the company-specific risk be diversified away by investing in both Nusa Raya and Acset Indonusa 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 Nusa Raya and Acset Indonusa into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Nusa Raya Cipta and Acset Indonusa Tbk, you can compare the effects of market volatilities on Nusa Raya and Acset Indonusa 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 Nusa Raya with a short position of Acset Indonusa. Check out your portfolio center. Please also check ongoing floating volatility patterns of Nusa Raya and Acset Indonusa.
Diversification Opportunities for Nusa Raya and Acset Indonusa
0.76 | Correlation Coefficient |
Poor diversification
The 3 months correlation between Nusa and Acset is 0.76. Overlapping area represents the amount of risk that can be diversified away by holding Nusa Raya Cipta and Acset Indonusa Tbk in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Acset Indonusa Tbk and Nusa Raya 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 Nusa Raya Cipta are associated (or correlated) with Acset Indonusa. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Acset Indonusa Tbk has no effect on the direction of Nusa Raya i.e., Nusa Raya and Acset Indonusa go up and down completely randomly.
Pair Corralation between Nusa Raya and Acset Indonusa
Assuming the 90 days trading horizon Nusa Raya Cipta is expected to generate 0.66 times more return on investment than Acset Indonusa. However, Nusa Raya Cipta is 1.51 times less risky than Acset Indonusa. It trades about -0.07 of its potential returns per unit of risk. Acset Indonusa Tbk is currently generating about -0.12 per unit of risk. If you would invest 36,000 in Nusa Raya Cipta on November 3, 2024 and sell it today you would lose (1,200) from holding Nusa Raya Cipta or give up 3.33% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Nusa Raya Cipta vs. Acset Indonusa Tbk
Performance |
| Timeline |
| Nusa Raya Cipta |
| Acset Indonusa Tbk |
Nusa Raya and Acset Indonusa Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Nusa Raya and Acset Indonusa
The main advantage of trading using opposite Nusa Raya and Acset Indonusa positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Nusa Raya position performs unexpectedly, Acset Indonusa 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 Acset Indonusa will offset losses from the drop in Acset Indonusa's long position.| Nusa Raya vs. Total Bangun Persada | Nusa Raya vs. Surya Semesta Internusa | Nusa Raya vs. Acset Indonusa Tbk | Nusa Raya vs. Mitra Pinasthika Mustika |
| Acset Indonusa vs. Bekasi Fajar Industrial | Acset Indonusa vs. Nusa Raya Cipta | Acset Indonusa vs. Wijaya Karya Beton | Acset Indonusa vs. Agung Podomoro Land |
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 Alpha Finder module to use alpha and beta coefficients to find investment opportunities after accounting for the risk.
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