Correlation Between PT Indofood and Mirvac

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

By analyzing existing cross correlation between PT Indofood Sukses and Mirvac Group, you can compare the effects of market volatilities on PT Indofood and Mirvac 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 Indofood with a short position of Mirvac. Check out your portfolio center. Please also check ongoing floating volatility patterns of PT Indofood and Mirvac.

Diversification Opportunities for PT Indofood and Mirvac

-0.56

Correlation Coefficient

PT Indofood  Mirvac

Excellent diversification

The 3 months correlation between ISM and Mirvac is -0.56. Overlapping area represents the amount of risk that can be diversified away by holding PT Indofood Sukses and Mirvac Group in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Mirvac Group and PT Indofood 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 Indofood Sukses are associated (or correlated) with Mirvac. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Mirvac Group has no effect on the direction of PT Indofood i.e., PT Indofood and Mirvac go up and down completely randomly.

Pair Corralation between PT Indofood and Mirvac

Assuming the 90 days horizon PT Indofood Sukses is expected to generate 2.18 times more return on investment than Mirvac. However, PT Indofood is 2.18 times more volatile than Mirvac Group. It trades about 0.06 of its potential returns per unit of risk. Mirvac Group is currently generating about 0.02 per unit of risk. If you would invest  36.00  in PT Indofood Sukses on September 25, 2024 and sell it today you would earn a total of  8.00  from holding PT Indofood Sukses or generate 22.22% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Against
Strength	Very Weak
Accuracy	99.22%
Values	Daily Returns

PT Indofood Sukses  vs.  Mirvac Group

PT Indofood Sukses

Risk-Adjusted Performance

4 of 100

Insignificant

Compared to the overall equity markets, risk-adjusted returns on investments in PT Indofood Sukses are ranked lower than 4 (%) of all global equities and portfolios over the last 90 days. Despite nearly fragile basic indicators, PT Indofood reported solid returns over the last few months and may actually be approaching a breakup point.

Mirvac Group

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Mirvac Group has generated negative risk-adjusted returns adding no value to investors with long positions. Despite fragile performance in the last few months, the Stock's basic indicators remain nearly stable which may send shares a bit higher in January 2025. The current disturbance may also be a sign of long-run up-swing for the company stockholders.

Pair Trading with PT Indofood and Mirvac

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

The idea behind PT Indofood Sukses and Mirvac Group 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 Idea Analyzer module to analyze all characteristics, volatility and risk-adjusted return of Macroaxis ideas.