Correlation Between Samudera Indonesia and Mark Dynamics
Can any of the company-specific risk be diversified away by investing in both Samudera Indonesia and Mark Dynamics 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 Samudera Indonesia and Mark Dynamics into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Samudera Indonesia Tbk and Mark Dynamics Indonesia, you can compare the effects of market volatilities on Samudera Indonesia and Mark Dynamics 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 Samudera Indonesia with a short position of Mark Dynamics. Check out your portfolio center. Please also check ongoing floating volatility patterns of Samudera Indonesia and Mark Dynamics.
Diversification Opportunities for Samudera Indonesia and Mark Dynamics
-0.25 | Correlation Coefficient |
Very good diversification
The 3 months correlation between Samudera and Mark is -0.25. Overlapping area represents the amount of risk that can be diversified away by holding Samudera Indonesia Tbk and Mark Dynamics Indonesia in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Mark Dynamics Indonesia and Samudera Indonesia 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 Samudera Indonesia Tbk are associated (or correlated) with Mark Dynamics. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Mark Dynamics Indonesia has no effect on the direction of Samudera Indonesia i.e., Samudera Indonesia and Mark Dynamics go up and down completely randomly.
Pair Corralation between Samudera Indonesia and Mark Dynamics
Assuming the 90 days trading horizon Samudera Indonesia Tbk is expected to under-perform the Mark Dynamics. But the stock apears to be less risky and, when comparing its historical volatility, Samudera Indonesia Tbk is 1.31 times less risky than Mark Dynamics. The stock trades about -0.44 of its potential returns per unit of risk. The Mark Dynamics Indonesia is currently generating about -0.1 of returns per unit of risk over similar time horizon. If you would invest 109,877 in Mark Dynamics Indonesia on August 29, 2024 and sell it today you would lose (5,877) from holding Mark Dynamics Indonesia or give up 5.35% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Insignificant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Samudera Indonesia Tbk vs. Mark Dynamics Indonesia
Performance |
| Timeline |
| Samudera Indonesia Tbk |
| Mark Dynamics Indonesia |
Samudera Indonesia and Mark Dynamics Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Samudera Indonesia and Mark Dynamics
The main advantage of trading using opposite Samudera Indonesia and Mark Dynamics positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Samudera Indonesia position performs unexpectedly, Mark Dynamics 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 Mark Dynamics will offset losses from the drop in Mark Dynamics' long position.| Samudera Indonesia vs. PT Temas Tbk | Samudera Indonesia vs. Petrosea Tbk | Samudera Indonesia vs. Rig Tenders Tbk | Samudera Indonesia vs. Rukun Raharja Tbk |
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 Price Exposure Probability module to analyze equity upside and downside potential for a given time horizon across multiple markets.
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