Correlation Between Mandom Indonesia and Greenwood Sejahtera
Can any of the company-specific risk be diversified away by investing in both Mandom Indonesia and Greenwood Sejahtera 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 Mandom Indonesia and Greenwood Sejahtera into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Mandom Indonesia Tbk and Greenwood Sejahtera Tbk, you can compare the effects of market volatilities on Mandom Indonesia and Greenwood Sejahtera 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 Mandom Indonesia with a short position of Greenwood Sejahtera. Check out your portfolio center. Please also check ongoing floating volatility patterns of Mandom Indonesia and Greenwood Sejahtera.
Diversification Opportunities for Mandom Indonesia and Greenwood Sejahtera
0.67 | Correlation Coefficient |
Poor diversification
The 3 months correlation between Mandom and Greenwood is 0.67. Overlapping area represents the amount of risk that can be diversified away by holding Mandom Indonesia Tbk and Greenwood Sejahtera Tbk in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Greenwood Sejahtera Tbk and Mandom 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 Mandom Indonesia Tbk are associated (or correlated) with Greenwood Sejahtera. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Greenwood Sejahtera Tbk has no effect on the direction of Mandom Indonesia i.e., Mandom Indonesia and Greenwood Sejahtera go up and down completely randomly.
Pair Corralation between Mandom Indonesia and Greenwood Sejahtera
Assuming the 90 days trading horizon Mandom Indonesia Tbk is expected to generate 1.5 times more return on investment than Greenwood Sejahtera. However, Mandom Indonesia is 1.5 times more volatile than Greenwood Sejahtera Tbk. It trades about -0.01 of its potential returns per unit of risk. Greenwood Sejahtera Tbk is currently generating about -0.04 per unit of risk. If you would invest 260,386 in Mandom Indonesia Tbk on September 2, 2024 and sell it today you would lose (37,386) from holding Mandom Indonesia Tbk or give up 14.36% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Mandom Indonesia Tbk vs. Greenwood Sejahtera Tbk
Performance |
| Timeline |
| Mandom Indonesia Tbk |
| Greenwood Sejahtera Tbk |
Mandom Indonesia and Greenwood Sejahtera Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Mandom Indonesia and Greenwood Sejahtera
The main advantage of trading using opposite Mandom Indonesia and Greenwood Sejahtera positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Mandom Indonesia position performs unexpectedly, Greenwood Sejahtera 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 Greenwood Sejahtera will offset losses from the drop in Greenwood Sejahtera's long position.| Mandom Indonesia vs. Bank BRISyariah Tbk | Mandom Indonesia vs. Mitra Pinasthika Mustika | Mandom Indonesia vs. Jakarta Int Hotels | Mandom Indonesia vs. Indosterling Technomedia Tbk |
| Greenwood Sejahtera vs. Lippo Cikarang Tbk | Greenwood Sejahtera vs. Lippo Karawaci Tbk | Greenwood Sejahtera vs. Mitra Pinasthika Mustika | Greenwood Sejahtera vs. Jakarta Int Hotels |
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 Options Analysis module to analyze and evaluate options and option chains as a potential hedge for your portfolios.
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