Correlation Between Sentul City and Mnc Investama

Can any of the company-specific risk be diversified away by investing in both Sentul City and Mnc Investama 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 Sentul City and Mnc Investama into the same portfolio, which is an essential part of the fundamental portfolio management process.

By analyzing existing cross correlation between Sentul City Tbk and Mnc Investama Tbk, you can compare the effects of market volatilities on Sentul City and Mnc Investama 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 Sentul City with a short position of Mnc Investama. Check out your portfolio center. Please also check ongoing floating volatility patterns of Sentul City and Mnc Investama.

Diversification Opportunities for Sentul City and Mnc Investama

0.07

Correlation Coefficient

Sentul City  Mnc Investama

Significant diversification

The 3 months correlation between Sentul and Mnc is 0.07. Overlapping area represents the amount of risk that can be diversified away by holding Sentul City Tbk and Mnc Investama Tbk in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Mnc Investama Tbk and Sentul City 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 Sentul City Tbk are associated (or correlated) with Mnc Investama. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Mnc Investama Tbk has no effect on the direction of Sentul City i.e., Sentul City and Mnc Investama go up and down completely randomly.

Pair Corralation between Sentul City and Mnc Investama

Assuming the 90 days trading horizon Sentul City Tbk is expected to generate 1.62 times more return on investment than Mnc Investama. However, Sentul City is 1.62 times more volatile than Mnc Investama Tbk. It trades about 0.12 of its potential returns per unit of risk. Mnc Investama Tbk is currently generating about -0.17 per unit of risk. If you would invest  5,200  in Sentul City Tbk on December 2, 2024 and sell it today you would earn a total of  1,800  from holding Sentul City Tbk or generate 34.62% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Together
Strength	Insignificant
Accuracy	100.0%
Values	Daily Returns

Sentul City Tbk  vs.  Mnc Investama Tbk

Sentul City Tbk

Risk-Adjusted Performance

OK

Compared to the overall equity markets, risk-adjusted returns on investments in Sentul City Tbk are ranked lower than 9 (%) of all global equities and portfolios over the last 90 days. Despite quite conflicting forward-looking signals, Sentul City disclosed solid returns over the last few months and may actually be approaching a breakup point.

Mnc Investama Tbk

Risk-Adjusted Performance

Very Weak

Over the last 90 days Mnc Investama Tbk has generated negative risk-adjusted returns adding no value to investors with long positions. Despite conflicting performance in the last few months, the Stock's forward-looking signals remain quite persistent which may send shares a bit higher in April 2025. The latest mess may also be a sign of long-standing up-swing for the company institutional investors.

Pair Trading with Sentul City and Mnc Investama

The main advantage of trading using opposite Sentul City and Mnc Investama positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Sentul City position performs unexpectedly, Mnc Investama 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 Mnc Investama will offset losses from the drop in Mnc Investama's long position.

The idea behind Sentul City Tbk and Mnc Investama Tbk 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.

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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 Equity Forecasting module to use basic forecasting models to generate price predictions and determine price momentum.