Correlation Between Surya Citra and Merck Tbk
Can any of the company-specific risk be diversified away by investing in both Surya Citra and Merck Tbk 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 Surya Citra and Merck Tbk into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Surya Citra Media and Merck Tbk, you can compare the effects of market volatilities on Surya Citra and Merck Tbk 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 Surya Citra with a short position of Merck Tbk. Check out your portfolio center. Please also check ongoing floating volatility patterns of Surya Citra and Merck Tbk.
Diversification Opportunities for Surya Citra and Merck Tbk
-0.22 | Correlation Coefficient |
Very good diversification
The 3 months correlation between Surya and Merck is -0.22. Overlapping area represents the amount of risk that can be diversified away by holding Surya Citra Media and Merck Tbk in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Merck Tbk and Surya Citra 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 Surya Citra Media are associated (or correlated) with Merck Tbk. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Merck Tbk has no effect on the direction of Surya Citra i.e., Surya Citra and Merck Tbk go up and down completely randomly.
Pair Corralation between Surya Citra and Merck Tbk
Assuming the 90 days trading horizon Surya Citra Media is expected to under-perform the Merck Tbk. In addition to that, Surya Citra is 2.37 times more volatile than Merck Tbk. It trades about -0.15 of its total potential returns per unit of risk. Merck Tbk is currently generating about -0.34 per unit of volatility. If you would invest 370,000 in Merck Tbk on August 29, 2024 and sell it today you would lose (25,000) from holding Merck Tbk or give up 6.76% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Insignificant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Surya Citra Media vs. Merck Tbk
Performance |
| Timeline |
| Surya Citra Media |
| Merck Tbk |
Surya Citra and Merck Tbk Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Surya Citra and Merck Tbk
The main advantage of trading using opposite Surya Citra and Merck Tbk positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Surya Citra position performs unexpectedly, Merck Tbk 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 Merck Tbk will offset losses from the drop in Merck Tbk's long position.| Surya Citra vs. Media Nusantara Citra | Surya Citra vs. Matahari Department Store | Surya Citra vs. Akr Corporindo Tbk | Surya Citra vs. XL Axiata Tbk |
| Merck Tbk vs. Merdeka Copper Gold | Merck Tbk vs. Tower Bersama Infrastructure | Merck Tbk vs. Erajaya Swasembada Tbk | Merck Tbk vs. Surya Citra Media |
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 Holdings module to check your current holdings and cash postion to detemine if your portfolio needs rebalancing.
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