Correlation Between Mitrabara Adiperdana and TBS Energi

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

By analyzing existing cross correlation between Mitrabara Adiperdana PT and TBS Energi Utama, you can compare the effects of market volatilities on Mitrabara Adiperdana and TBS Energi 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 Mitrabara Adiperdana with a short position of TBS Energi. Check out your portfolio center. Please also check ongoing floating volatility patterns of Mitrabara Adiperdana and TBS Energi.

Diversification Opportunities for Mitrabara Adiperdana and TBS Energi

0.21

Correlation Coefficient

Mitrabara Adiperdana  TBS Energi

Modest diversification

The 3 months correlation between Mitrabara and TBS is 0.21. Overlapping area represents the amount of risk that can be diversified away by holding Mitrabara Adiperdana PT and TBS Energi Utama in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on TBS Energi Utama and Mitrabara Adiperdana 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 Mitrabara Adiperdana PT are associated (or correlated) with TBS Energi. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of TBS Energi Utama has no effect on the direction of Mitrabara Adiperdana i.e., Mitrabara Adiperdana and TBS Energi go up and down completely randomly.

Pair Corralation between Mitrabara Adiperdana and TBS Energi

Assuming the 90 days trading horizon Mitrabara Adiperdana PT is expected to under-perform the TBS Energi. But the stock apears to be less risky and, when comparing its historical volatility, Mitrabara Adiperdana PT is 3.95 times less risky than TBS Energi. The stock trades about -0.23 of its potential returns per unit of risk. The TBS Energi Utama is currently generating about 0.01 of returns per unit of risk over similar time horizon. If you would invest  46,800  in TBS Energi Utama on September 1, 2024 and sell it today you would lose (2,200) from holding TBS Energi Utama or give up 4.7% of portfolio value over 90 days.

Time Period	3 Months [change]
Direction	Moves Together
Strength	Very Weak
Accuracy	98.44%
Values	Daily Returns

Mitrabara Adiperdana PT  vs.  TBS Energi Utama

Mitrabara Adiperdana

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Mitrabara Adiperdana PT 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 December 2024. The latest mess may also be a sign of long-standing up-swing for the company institutional investors.

TBS Energi Utama

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days TBS Energi Utama has generated negative risk-adjusted returns adding no value to investors with long positions. Despite quite persistent forward-looking signals, TBS Energi 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 Mitrabara Adiperdana and TBS Energi

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

The idea behind Mitrabara Adiperdana PT and TBS Energi Utama 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 Performance Analysis module to check effects of mean-variance optimization against your current asset allocation.