Correlation Between Wijaya Karya and Ciputra Development
Can any of the company-specific risk be diversified away by investing in both Wijaya Karya and Ciputra Development 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 Wijaya Karya and Ciputra Development into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Wijaya Karya Beton and Ciputra Development Tbk, you can compare the effects of market volatilities on Wijaya Karya and Ciputra Development 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 Wijaya Karya with a short position of Ciputra Development. Check out your portfolio center. Please also check ongoing floating volatility patterns of Wijaya Karya and Ciputra Development.
Diversification Opportunities for Wijaya Karya and Ciputra Development
0.68 | Correlation Coefficient |
Poor diversification
The 3 months correlation between Wijaya and Ciputra is 0.68. Overlapping area represents the amount of risk that can be diversified away by holding Wijaya Karya Beton and Ciputra Development Tbk in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Ciputra Development Tbk and Wijaya Karya 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 Wijaya Karya Beton are associated (or correlated) with Ciputra Development. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Ciputra Development Tbk has no effect on the direction of Wijaya Karya i.e., Wijaya Karya and Ciputra Development go up and down completely randomly.
Pair Corralation between Wijaya Karya and Ciputra Development
Assuming the 90 days trading horizon Wijaya Karya Beton is expected to under-perform the Ciputra Development. In addition to that, Wijaya Karya is 2.34 times more volatile than Ciputra Development Tbk. It trades about -0.02 of its total potential returns per unit of risk. Ciputra Development Tbk is currently generating about 0.02 per unit of volatility. If you would invest 97,227 in Ciputra Development Tbk on August 24, 2024 and sell it today you would earn a total of 9,773 from holding Ciputra Development Tbk or generate 10.05% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 99.79% |
| Values | Daily Returns |
Wijaya Karya Beton vs. Ciputra Development Tbk
Performance |
| Timeline |
| Wijaya Karya Beton |
| Ciputra Development Tbk |
Wijaya Karya and Ciputra Development Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Wijaya Karya and Ciputra Development
The main advantage of trading using opposite Wijaya Karya and Ciputra Development positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Wijaya Karya position performs unexpectedly, Ciputra Development 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 Ciputra Development will offset losses from the drop in Ciputra Development's long position.| Wijaya Karya vs. Adhi Karya Persero | Wijaya Karya vs. Waskita Karya Persero | Wijaya Karya vs. Pembangunan Perumahan PT | Wijaya Karya vs. Jasa Marga Tbk |
| Ciputra Development vs. Summarecon Agung Tbk | Ciputra Development vs. Bumi Serpong Damai | Ciputra Development vs. Adhi Karya Persero | Ciputra Development vs. Wijaya Karya Beton |
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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