Correlation Between Nusa Raya and PT Anugerah
Can any of the company-specific risk be diversified away by investing in both Nusa Raya and PT Anugerah 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 PT Anugerah 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 PT Anugerah Spareparts, you can compare the effects of market volatilities on Nusa Raya and PT Anugerah 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 PT Anugerah. Check out your portfolio center. Please also check ongoing floating volatility patterns of Nusa Raya and PT Anugerah.
Diversification Opportunities for Nusa Raya and PT Anugerah
-0.44 | Correlation Coefficient |
Very good diversification
The 3 months correlation between Nusa and AEGS is -0.44. Overlapping area represents the amount of risk that can be diversified away by holding Nusa Raya Cipta and PT Anugerah Spareparts in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on PT Anugerah Spareparts 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 PT Anugerah. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of PT Anugerah Spareparts has no effect on the direction of Nusa Raya i.e., Nusa Raya and PT Anugerah go up and down completely randomly.
Pair Corralation between Nusa Raya and PT Anugerah
Assuming the 90 days trading horizon Nusa Raya Cipta is expected to under-perform the PT Anugerah. But the stock apears to be less risky and, when comparing its historical volatility, Nusa Raya Cipta is 2.09 times less risky than PT Anugerah. The stock trades about -0.36 of its potential returns per unit of risk. The PT Anugerah Spareparts is currently generating about 0.12 of returns per unit of risk over similar time horizon. If you would invest 3,100 in PT Anugerah Spareparts on September 1, 2024 and sell it today you would earn a total of 400.00 from holding PT Anugerah Spareparts or generate 12.9% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Very Weak |
| Accuracy | 95.45% |
| Values | Daily Returns |
Nusa Raya Cipta vs. PT Anugerah Spareparts
Performance |
| Timeline |
| Nusa Raya Cipta |
| PT Anugerah Spareparts |
Nusa Raya and PT Anugerah Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Nusa Raya and PT Anugerah
The main advantage of trading using opposite Nusa Raya and PT Anugerah positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Nusa Raya position performs unexpectedly, PT Anugerah 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 PT Anugerah will offset losses from the drop in PT Anugerah'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 |
| PT Anugerah vs. Bank Central Asia | PT Anugerah vs. Bank Rakyat Indonesia | PT Anugerah vs. Bayan Resources Tbk | PT Anugerah vs. Bank Mandiri Persero |
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 Portfolio Volatility module to check portfolio volatility and analyze historical return density to properly model market risk.
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