Correlation Between Citra Borneo and Menthobi Karyatama

Can any of the company-specific risk be diversified away by investing in both Citra Borneo and Menthobi Karyatama 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 Citra Borneo and Menthobi Karyatama into the same portfolio, which is an essential part of the fundamental portfolio management process.

By analyzing existing cross correlation between Citra Borneo Utama and Menthobi Karyatama Raya, you can compare the effects of market volatilities on Citra Borneo and Menthobi Karyatama 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 Citra Borneo with a short position of Menthobi Karyatama. Check out your portfolio center. Please also check ongoing floating volatility patterns of Citra Borneo and Menthobi Karyatama.

Diversification Opportunities for Citra Borneo and Menthobi Karyatama

0.43

Correlation Coefficient

Citra Borneo  Menthobi Karyatama

Very weak diversification

The 3 months correlation between Citra and Menthobi is 0.43. Overlapping area represents the amount of risk that can be diversified away by holding Citra Borneo Utama and Menthobi Karyatama Raya in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Menthobi Karyatama Raya and Citra Borneo 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 Citra Borneo Utama are associated (or correlated) with Menthobi Karyatama. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Menthobi Karyatama Raya has no effect on the direction of Citra Borneo i.e., Citra Borneo and Menthobi Karyatama go up and down completely randomly.

Pair Corralation between Citra Borneo and Menthobi Karyatama

Assuming the 90 days trading horizon Citra Borneo Utama is expected to under-perform the Menthobi Karyatama. In addition to that, Citra Borneo is 2.53 times more volatile than Menthobi Karyatama Raya. It trades about -0.11 of its total potential returns per unit of risk. Menthobi Karyatama Raya is currently generating about -0.01 per unit of volatility. If you would invest  12,100  in Menthobi Karyatama Raya on October 7, 2024 and sell it today you would lose (100.00) from holding Menthobi Karyatama Raya or give up 0.83% of portfolio value over 90 days.

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

Citra Borneo Utama  vs.  Menthobi Karyatama Raya

Citra Borneo Utama

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Citra Borneo Utama 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 February 2025. The latest mess may also be a sign of long-standing up-swing for the company institutional investors.

Menthobi Karyatama Raya

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Menthobi Karyatama Raya has generated negative risk-adjusted returns adding no value to investors with long positions. Despite quite persistent forward-looking signals, Menthobi Karyatama is not utilizing all of its potentials. The latest stock price mess, may contribute to short-term losses for the institutional investors.

Pair Trading with Citra Borneo and Menthobi Karyatama

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

The idea behind Citra Borneo Utama and Menthobi Karyatama Raya 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 Premium Stories module to follow Macroaxis premium stories from verified contributors across different equity types, categories and coverage scope.