Correlation Between PT Citra and Catur Sentosa

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

By analyzing existing cross correlation between PT Citra Tubindo and Catur Sentosa Adiprana, you can compare the effects of market volatilities on PT Citra and Catur Sentosa 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 PT Citra with a short position of Catur Sentosa. Check out your portfolio center. Please also check ongoing floating volatility patterns of PT Citra and Catur Sentosa.

Diversification Opportunities for PT Citra and Catur Sentosa

0.8

Correlation Coefficient

PT Citra  Catur Sentosa

Very poor diversification

The 3 months correlation between CTBN and Catur is 0.8. Overlapping area represents the amount of risk that can be diversified away by holding PT Citra Tubindo and Catur Sentosa Adiprana in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Catur Sentosa Adiprana and PT Citra 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 PT Citra Tubindo are associated (or correlated) with Catur Sentosa. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Catur Sentosa Adiprana has no effect on the direction of PT Citra i.e., PT Citra and Catur Sentosa go up and down completely randomly.

Pair Corralation between PT Citra and Catur Sentosa

Assuming the 90 days trading horizon PT Citra Tubindo is expected to under-perform the Catur Sentosa. In addition to that, PT Citra is 1.27 times more volatile than Catur Sentosa Adiprana. It trades about -0.1 of its total potential returns per unit of risk. Catur Sentosa Adiprana is currently generating about -0.07 per unit of volatility. If you would invest  44,800  in Catur Sentosa Adiprana on December 4, 2024 and sell it today you would lose (5,000) from holding Catur Sentosa Adiprana or give up 11.16% of portfolio value over 90 days.

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

PT Citra Tubindo  vs.  Catur Sentosa Adiprana

PT Citra Tubindo

Risk-Adjusted Performance

Very Weak

Over the last 90 days PT Citra Tubindo 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.

Catur Sentosa Adiprana

Risk-Adjusted Performance

Very Weak

Over the last 90 days Catur Sentosa Adiprana has generated negative risk-adjusted returns adding no value to investors with long positions. Despite latest conflicting performance, the Stock's forward-looking signals remain persistent and the latest mess on Wall Street may also be a sign of long-standing gains for the company institutional investors.

Pair Trading with PT Citra and Catur Sentosa

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

The idea behind PT Citra Tubindo and Catur Sentosa Adiprana 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 Efficient Frontier module to plot and analyze your portfolio and positions against risk-return landscape of the market..