Correlation Between Pembangunan Perumahan and Wijaya Karya
Can any of the company-specific risk be diversified away by investing in both Pembangunan Perumahan and Wijaya Karya 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 Perumahan and Wijaya Karya into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Pembangunan Perumahan PT and Wijaya Karya Bangunan, you can compare the effects of market volatilities on Pembangunan Perumahan and Wijaya Karya 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 Perumahan with a short position of Wijaya Karya. Check out your portfolio center. Please also check ongoing floating volatility patterns of Pembangunan Perumahan and Wijaya Karya.
Diversification Opportunities for Pembangunan Perumahan and Wijaya Karya
0.96 | Correlation Coefficient |
Almost no diversification
The 3 months correlation between Pembangunan and Wijaya is 0.96. Overlapping area represents the amount of risk that can be diversified away by holding Pembangunan Perumahan PT and Wijaya Karya Bangunan in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Wijaya Karya Bangunan and Pembangunan Perumahan 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 Perumahan PT are associated (or correlated) with Wijaya Karya. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Wijaya Karya Bangunan has no effect on the direction of Pembangunan Perumahan i.e., Pembangunan Perumahan and Wijaya Karya go up and down completely randomly.
Pair Corralation between Pembangunan Perumahan and Wijaya Karya
Assuming the 90 days trading horizon Pembangunan Perumahan PT is expected to generate 1.21 times more return on investment than Wijaya Karya. However, Pembangunan Perumahan is 1.21 times more volatile than Wijaya Karya Bangunan. It trades about -0.03 of its potential returns per unit of risk. Wijaya Karya Bangunan is currently generating about -0.05 per unit of risk. If you would invest 70,500 in Pembangunan Perumahan PT on November 2, 2024 and sell it today you would lose (37,100) from holding Pembangunan Perumahan PT or give up 52.62% of portfolio value over 90 days.
Time Period | 3 Months [change] |
Direction | Moves Together |
Strength | Very Strong |
Accuracy | 100.0% |
Values | Daily Returns |
Pembangunan Perumahan PT vs. Wijaya Karya Bangunan
Performance |
Timeline |
Pembangunan Perumahan |
Wijaya Karya Bangunan |
Pembangunan Perumahan and Wijaya Karya Volatility Contrast
Predicted Return Density |
Returns |
Pair Trading with Pembangunan Perumahan and Wijaya Karya
The main advantage of trading using opposite Pembangunan Perumahan and Wijaya Karya positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Pembangunan Perumahan position performs unexpectedly, Wijaya Karya 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 Wijaya Karya will offset losses from the drop in Wijaya Karya's long position.Pembangunan Perumahan vs. Wijaya Karya Beton | Pembangunan Perumahan vs. Waskita Karya Persero | Pembangunan Perumahan vs. Adhi Karya Persero | Pembangunan Perumahan vs. Bumi Serpong Damai |
Wijaya Karya vs. Wijaya Karya Beton | Wijaya Karya vs. Waskita Beton Precast | Wijaya Karya vs. Pembangunan Perumahan PT | Wijaya Karya vs. Puradelta Lestari 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 Portfolio Volatility module to check portfolio volatility and analyze historical return density to properly model market risk.
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