Correlation Between Unilever Indonesia and Mitra Adiperkasa
Can any of the company-specific risk be diversified away by investing in both Unilever Indonesia and Mitra Adiperkasa 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 Unilever Indonesia and Mitra Adiperkasa into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Unilever Indonesia Tbk and Mitra Adiperkasa Tbk, you can compare the effects of market volatilities on Unilever Indonesia and Mitra Adiperkasa 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 Unilever Indonesia with a short position of Mitra Adiperkasa. Check out your portfolio center. Please also check ongoing floating volatility patterns of Unilever Indonesia and Mitra Adiperkasa.
Diversification Opportunities for Unilever Indonesia and Mitra Adiperkasa
0.62 | Correlation Coefficient |
Poor diversification
The 3 months correlation between Unilever and Mitra is 0.62. Overlapping area represents the amount of risk that can be diversified away by holding Unilever Indonesia Tbk and Mitra Adiperkasa Tbk in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Mitra Adiperkasa Tbk and Unilever 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 Unilever Indonesia Tbk are associated (or correlated) with Mitra Adiperkasa. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Mitra Adiperkasa Tbk has no effect on the direction of Unilever Indonesia i.e., Unilever Indonesia and Mitra Adiperkasa go up and down completely randomly.
Pair Corralation between Unilever Indonesia and Mitra Adiperkasa
Assuming the 90 days trading horizon Unilever Indonesia Tbk is expected to generate 0.83 times more return on investment than Mitra Adiperkasa. However, Unilever Indonesia Tbk is 1.2 times less risky than Mitra Adiperkasa. It trades about -0.1 of its potential returns per unit of risk. Mitra Adiperkasa Tbk is currently generating about -0.13 per unit of risk. If you would invest 202,000 in Unilever Indonesia Tbk on August 29, 2024 and sell it today you would lose (14,000) from holding Unilever Indonesia Tbk or give up 6.93% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Unilever Indonesia Tbk vs. Mitra Adiperkasa Tbk
Performance |
| Timeline |
| Unilever Indonesia Tbk |
| Mitra Adiperkasa Tbk |
Unilever Indonesia and Mitra Adiperkasa Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Unilever Indonesia and Mitra Adiperkasa
The main advantage of trading using opposite Unilever Indonesia and Mitra Adiperkasa positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Unilever Indonesia position performs unexpectedly, Mitra Adiperkasa 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 Mitra Adiperkasa will offset losses from the drop in Mitra Adiperkasa's long position.| Unilever Indonesia vs. Bakrieland Development Tbk | Unilever Indonesia vs. Bakrie Brothers Tbk | Unilever Indonesia vs. Energi Mega Persada | Unilever Indonesia vs. Sampoerna Agro Tbk |
| Mitra Adiperkasa vs. Ramayana Lestari Sentosa | Mitra Adiperkasa vs. Ace Hardware Indonesia | Mitra Adiperkasa vs. Summarecon Agung Tbk | Mitra Adiperkasa vs. Media Nusantara Citra |
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 Center module to all portfolio management and optimization tools to improve performance of your portfolios.
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