Correlation Between PT Citra and Nusa Raya

Can any of the company-specific risk be diversified away by investing in both PT Citra and Nusa Raya 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 Nusa Raya 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 Nusa Raya Cipta, you can compare the effects of market volatilities on PT Citra and Nusa Raya 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 Nusa Raya. Check out your portfolio center. Please also check ongoing floating volatility patterns of PT Citra and Nusa Raya.

Diversification Opportunities for PT Citra and Nusa Raya

-0.73

Correlation Coefficient

PT Citra  Nusa Raya

Pay attention - limited upside

The 3 months correlation between CTBN and Nusa is -0.73. Overlapping area represents the amount of risk that can be diversified away by holding PT Citra Tubindo and Nusa Raya Cipta in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Nusa Raya Cipta 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 Nusa Raya. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Nusa Raya Cipta has no effect on the direction of PT Citra i.e., PT Citra and Nusa Raya go up and down completely randomly.

Pair Corralation between PT Citra and Nusa Raya

Assuming the 90 days trading horizon PT Citra Tubindo is expected to generate 2.92 times more return on investment than Nusa Raya. However, PT Citra is 2.92 times more volatile than Nusa Raya Cipta. It trades about 0.07 of its potential returns per unit of risk. Nusa Raya Cipta is currently generating about 0.03 per unit of risk. If you would invest  190,000  in PT Citra Tubindo on October 12, 2024 and sell it today you would earn a total of  89,000  from holding PT Citra Tubindo or generate 46.84% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Against
Strength	Weak
Accuracy	99.45%
Values	Daily Returns

PT Citra Tubindo  vs.  Nusa Raya Cipta

PT Citra Tubindo

Risk-Adjusted Performance

8 of 100

OK

Compared to the overall equity markets, risk-adjusted returns on investments in PT Citra Tubindo are ranked lower than 8 (%) of all global equities and portfolios over the last 90 days. Despite quite conflicting forward-looking signals, PT Citra disclosed solid returns over the last few months and may actually be approaching a breakup point.

Nusa Raya Cipta

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Nusa Raya Cipta has generated negative risk-adjusted returns adding no value to investors with long positions. Despite quite persistent forward-looking signals, Nusa Raya 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 PT Citra and Nusa Raya

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

The idea behind PT Citra Tubindo and Nusa Raya Cipta 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 Sync Your Broker module to sync your existing holdings, watchlists, positions or portfolios from thousands of online brokerage services, banks, investment account aggregators and robo-advisors..