Correlation Between Modern Internasional and Perdana Bangun

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

By analyzing existing cross correlation between Modern Internasional Tbk and Perdana Bangun Pusaka, you can compare the effects of market volatilities on Modern Internasional and Perdana Bangun 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 Modern Internasional with a short position of Perdana Bangun. Check out your portfolio center. Please also check ongoing floating volatility patterns of Modern Internasional and Perdana Bangun.

Diversification Opportunities for Modern Internasional and Perdana Bangun

-0.18

Correlation Coefficient

Modern Internasional  Perdana Bangun

Good diversification

The 3 months correlation between Modern and Perdana is -0.18. Overlapping area represents the amount of risk that can be diversified away by holding Modern Internasional Tbk and Perdana Bangun Pusaka in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Perdana Bangun Pusaka and Modern Internasional 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 Modern Internasional Tbk are associated (or correlated) with Perdana Bangun. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Perdana Bangun Pusaka has no effect on the direction of Modern Internasional i.e., Modern Internasional and Perdana Bangun go up and down completely randomly.

Pair Corralation between Modern Internasional and Perdana Bangun

Assuming the 90 days trading horizon Modern Internasional Tbk is expected to generate 1.71 times more return on investment than Perdana Bangun. However, Modern Internasional is 1.71 times more volatile than Perdana Bangun Pusaka. It trades about 0.07 of its potential returns per unit of risk. Perdana Bangun Pusaka is currently generating about -0.02 per unit of risk. If you would invest  700.00  in Modern Internasional Tbk on December 28, 2024 and sell it today you would earn a total of  100.00  from holding Modern Internasional Tbk or generate 14.29% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Against
Strength	Insignificant
Accuracy	98.33%
Values	Daily Returns

Modern Internasional Tbk  vs.  Perdana Bangun Pusaka

Modern Internasional Tbk

Risk-Adjusted Performance

Modest

Compared to the overall equity markets, risk-adjusted returns on investments in Modern Internasional Tbk are ranked lower than 5 (%) of all global equities and portfolios over the last 90 days. Despite quite conflicting forward-looking signals, Modern Internasional disclosed solid returns over the last few months and may actually be approaching a breakup point.

Perdana Bangun Pusaka

Risk-Adjusted Performance

Very Weak

Over the last 90 days Perdana Bangun Pusaka has generated negative risk-adjusted returns adding no value to investors with long positions. Despite quite persistent forward-looking signals, Perdana Bangun 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 Modern Internasional and Perdana Bangun

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

The idea behind Modern Internasional Tbk and Perdana Bangun Pusaka 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 Theme Ratings module to determine theme ratings based on digital equity recommendations. Macroaxis theme ratings are based on combination of fundamental analysis and risk-adjusted market performance.