Correlation Between Pembangunan Jaya and Matahari Department
Can any of the company-specific risk be diversified away by investing in both Pembangunan Jaya and Matahari Department 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 Pembangunan Jaya and Matahari Department into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Pembangunan Jaya Ancol and Matahari Department Store, you can compare the effects of market volatilities on Pembangunan Jaya and Matahari Department 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 Pembangunan Jaya with a short position of Matahari Department. Check out your portfolio center. Please also check ongoing floating volatility patterns of Pembangunan Jaya and Matahari Department.
Diversification Opportunities for Pembangunan Jaya and Matahari Department
0.41 | Correlation Coefficient |
Very weak diversification
The 3 months correlation between Pembangunan and Matahari is 0.41. Overlapping area represents the amount of risk that can be diversified away by holding Pembangunan Jaya Ancol and Matahari Department Store in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Matahari Department Store and Pembangunan Jaya 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 Pembangunan Jaya Ancol are associated (or correlated) with Matahari Department. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Matahari Department Store has no effect on the direction of Pembangunan Jaya i.e., Pembangunan Jaya and Matahari Department go up and down completely randomly.
Pair Corralation between Pembangunan Jaya and Matahari Department
Assuming the 90 days trading horizon Pembangunan Jaya is expected to generate 4.48 times less return on investment than Matahari Department. But when comparing it to its historical volatility, Pembangunan Jaya Ancol is 1.05 times less risky than Matahari Department. It trades about 0.11 of its potential returns per unit of risk. Matahari Department Store is currently generating about 0.48 of returns per unit of risk over similar time horizon. If you would invest 141,500 in Matahari Department Store on November 3, 2024 and sell it today you would earn a total of 18,000 from holding Matahari Department Store or generate 12.72% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
Pembangunan Jaya Ancol vs. Matahari Department Store
Performance |
| Timeline |
| Pembangunan Jaya Ancol |
| Matahari Department Store |
Pembangunan Jaya and Matahari Department Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Pembangunan Jaya and Matahari Department
The main advantage of trading using opposite Pembangunan Jaya and Matahari Department positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Pembangunan Jaya position performs unexpectedly, Matahari Department 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 Matahari Department will offset losses from the drop in Matahari Department's long position.| Pembangunan Jaya vs. Lautan Luas Tbk | Pembangunan Jaya vs. Panorama Sentrawisata Tbk | Pembangunan Jaya vs. Multi Indocitra Tbk | Pembangunan Jaya vs. Hotel Sahid Jaya |
| Matahari Department vs. Surya Citra Media | Matahari Department vs. Akr Corporindo Tbk | Matahari Department vs. Media Nusantara Citra | Matahari Department vs. Pembangunan Perumahan PT |
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 Sign In To Macroaxis module to sign in to explore Macroaxis' wealth optimization platform and fintech modules.
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