Correlation Between Mitrabahtera Segara and Wijaya Karya

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

By analyzing existing cross correlation between Mitrabahtera Segara Sejati and Wijaya Karya Bangunan, you can compare the effects of market volatilities on Mitrabahtera Segara and Wijaya Karya 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 Mitrabahtera Segara with a short position of Wijaya Karya. Check out your portfolio center. Please also check ongoing floating volatility patterns of Mitrabahtera Segara and Wijaya Karya.

Diversification Opportunities for Mitrabahtera Segara and Wijaya Karya

0.77

Correlation Coefficient

Mitrabahtera Segara  Wijaya Karya

Poor diversification

The 3 months correlation between Mitrabahtera and Wijaya is 0.77. Overlapping area represents the amount of risk that can be diversified away by holding Mitrabahtera Segara Sejati and Wijaya Karya Bangunan in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Wijaya Karya Bangunan and Mitrabahtera Segara 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 Mitrabahtera Segara Sejati are associated (or correlated) with Wijaya Karya. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Wijaya Karya Bangunan has no effect on the direction of Mitrabahtera Segara i.e., Mitrabahtera Segara and Wijaya Karya go up and down completely randomly.

Pair Corralation between Mitrabahtera Segara and Wijaya Karya

Assuming the 90 days trading horizon Mitrabahtera Segara Sejati is expected to generate 0.72 times more return on investment than Wijaya Karya. However, Mitrabahtera Segara Sejati is 1.39 times less risky than Wijaya Karya. It trades about -0.06 of its potential returns per unit of risk. Wijaya Karya Bangunan is currently generating about -0.21 per unit of risk. If you would invest  107,000  in Mitrabahtera Segara Sejati on October 22, 2024 and sell it today you would lose (4,500) from holding Mitrabahtera Segara Sejati or give up 4.21% of portfolio value over 90 days.

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

Mitrabahtera Segara Sejati  vs.  Wijaya Karya Bangunan

Mitrabahtera Segara

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Mitrabahtera Segara Sejati 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 February 2025. The latest mess may also be a sign of long-standing up-swing for the company institutional investors.

Wijaya Karya Bangunan

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Wijaya Karya Bangunan 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 February 2025. The latest mess may also be a sign of long-standing up-swing for the company institutional investors.

Pair Trading with Mitrabahtera Segara and Wijaya Karya

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

The idea behind Mitrabahtera Segara Sejati and Wijaya Karya Bangunan 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 Alpha Finder module to use alpha and beta coefficients to find investment opportunities after accounting for the risk.