Correlation Between Gozco Plantations and PT Mandiri

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

By analyzing existing cross correlation between Gozco Plantations Tbk and PT Mandiri Herindo, you can compare the effects of market volatilities on Gozco Plantations and PT Mandiri 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 Gozco Plantations with a short position of PT Mandiri. Check out your portfolio center. Please also check ongoing floating volatility patterns of Gozco Plantations and PT Mandiri.

Diversification Opportunities for Gozco Plantations and PT Mandiri

-0.14

Correlation Coefficient

Gozco Plantations  PT Mandiri

Good diversification

The 3 months correlation between Gozco and MAHA is -0.14. Overlapping area represents the amount of risk that can be diversified away by holding Gozco Plantations Tbk and PT Mandiri Herindo in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on PT Mandiri Herindo and Gozco Plantations 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 Gozco Plantations Tbk are associated (or correlated) with PT Mandiri. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of PT Mandiri Herindo has no effect on the direction of Gozco Plantations i.e., Gozco Plantations and PT Mandiri go up and down completely randomly.

Pair Corralation between Gozco Plantations and PT Mandiri

Assuming the 90 days trading horizon Gozco Plantations Tbk is expected to generate 1.53 times more return on investment than PT Mandiri. However, Gozco Plantations is 1.53 times more volatile than PT Mandiri Herindo. It trades about 0.08 of its potential returns per unit of risk. PT Mandiri Herindo is currently generating about -0.01 per unit of risk. If you would invest  8,800  in Gozco Plantations Tbk on September 2, 2024 and sell it today you would earn a total of  1,000.00  from holding Gozco Plantations Tbk or generate 11.36% return on investment over 90 days.

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

Gozco Plantations Tbk  vs.  PT Mandiri Herindo

Gozco Plantations Tbk

Risk-Adjusted Performance

6 of 100

Modest

Compared to the overall equity markets, risk-adjusted returns on investments in Gozco Plantations Tbk are ranked lower than 6 (%) of all global equities and portfolios over the last 90 days. Despite quite conflicting forward-looking signals, Gozco Plantations may actually be approaching a critical reversion point that can send shares even higher in January 2025.

PT Mandiri Herindo

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days PT Mandiri Herindo has generated negative risk-adjusted returns adding no value to investors with long positions. Despite quite persistent forward-looking signals, PT Mandiri 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 Gozco Plantations and PT Mandiri

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

The idea behind Gozco Plantations Tbk and PT Mandiri Herindo 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.

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