Correlation Between Victoria Insurance and City Retail
Can any of the company-specific risk be diversified away by investing in both Victoria Insurance and City Retail 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 Victoria Insurance and City Retail into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Victoria Insurance Tbk and City Retail Developments, you can compare the effects of market volatilities on Victoria Insurance and City Retail 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 Victoria Insurance with a short position of City Retail. Check out your portfolio center. Please also check ongoing floating volatility patterns of Victoria Insurance and City Retail.
Diversification Opportunities for Victoria Insurance and City Retail
0.59 | Correlation Coefficient |
Very weak diversification
The 3 months correlation between Victoria and City is 0.59. Overlapping area represents the amount of risk that can be diversified away by holding Victoria Insurance Tbk and City Retail Developments in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on City Retail Developments and Victoria Insurance 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 Victoria Insurance Tbk are associated (or correlated) with City Retail. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of City Retail Developments has no effect on the direction of Victoria Insurance i.e., Victoria Insurance and City Retail go up and down completely randomly.
Pair Corralation between Victoria Insurance and City Retail
Assuming the 90 days trading horizon Victoria Insurance Tbk is expected to generate 8.0 times more return on investment than City Retail. However, Victoria Insurance is 8.0 times more volatile than City Retail Developments. It trades about 0.02 of its potential returns per unit of risk. City Retail Developments is currently generating about -0.01 per unit of risk. If you would invest 14,764 in Victoria Insurance Tbk on August 27, 2024 and sell it today you would lose (3,464) from holding Victoria Insurance Tbk or give up 23.46% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
Victoria Insurance Tbk vs. City Retail Developments
Performance |
| Timeline |
| Victoria Insurance Tbk |
| City Retail Developments |
Victoria Insurance and City Retail Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Victoria Insurance and City Retail
The main advantage of trading using opposite Victoria Insurance and City Retail positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Victoria Insurance position performs unexpectedly, City Retail 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 City Retail will offset losses from the drop in City Retail's long position.The idea behind Victoria Insurance Tbk and City Retail Developments pairs trading is to make the combined position market-neutral, meaning the overall market's direction will not affect its win or loss (or potential downside or upside). This can be achieved by designing a pairs trade with two highly correlated stocks or equities that operate in a similar space or sector, making it possible to obtain profits through simple and relatively low-risk investment.| City Retail vs. Metropolitan Land Tbk | City Retail vs. Bekasi Fajar Industrial | City Retail vs. Greenwood Sejahtera Tbk | City Retail vs. Metropolitan Kentjana 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 Performance Analysis module to check effects of mean-variance optimization against your current asset allocation.
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