Correlation Between Multi Indocitra and Pembangunan Jaya

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

By analyzing existing cross correlation between Multi Indocitra Tbk and Pembangunan Jaya Ancol, you can compare the effects of market volatilities on Multi Indocitra and Pembangunan Jaya 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 Multi Indocitra with a short position of Pembangunan Jaya. Check out your portfolio center. Please also check ongoing floating volatility patterns of Multi Indocitra and Pembangunan Jaya.

Diversification Opportunities for Multi Indocitra and Pembangunan Jaya

0.28

Correlation Coefficient

Multi Indocitra  Pembangunan Jaya

Modest diversification

The 3 months correlation between Multi and Pembangunan is 0.28. Overlapping area represents the amount of risk that can be diversified away by holding Multi Indocitra Tbk and Pembangunan Jaya Ancol in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Pembangunan Jaya Ancol and Multi Indocitra 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 Multi Indocitra Tbk are associated (or correlated) with Pembangunan Jaya. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Pembangunan Jaya Ancol has no effect on the direction of Multi Indocitra i.e., Multi Indocitra and Pembangunan Jaya go up and down completely randomly.

Pair Corralation between Multi Indocitra and Pembangunan Jaya

Assuming the 90 days trading horizon Multi Indocitra Tbk is expected to generate 1.57 times more return on investment than Pembangunan Jaya. However, Multi Indocitra is 1.57 times more volatile than Pembangunan Jaya Ancol. It trades about -0.01 of its potential returns per unit of risk. Pembangunan Jaya Ancol is currently generating about -0.19 per unit of risk. If you would invest  53,000  in Multi Indocitra Tbk on September 2, 2024 and sell it today you would lose (1,000.00) from holding Multi Indocitra Tbk or give up 1.89% of portfolio value over 90 days.

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

Multi Indocitra Tbk  vs.  Pembangunan Jaya Ancol

Multi Indocitra Tbk

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Multi Indocitra Tbk has generated negative risk-adjusted returns adding no value to investors with long positions. Despite quite persistent forward-looking signals, Multi Indocitra is not utilizing all of its potentials. The latest stock price mess, may contribute to short-term losses for the institutional investors.

Pembangunan Jaya Ancol

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Pembangunan Jaya Ancol has generated negative risk-adjusted returns adding no value to investors with long positions. Despite latest conflicting performance, the Stock's forward-looking signals remain persistent and the latest mess on Wall Street may also be a sign of long-standing gains for the company institutional investors.

Pair Trading with Multi Indocitra and Pembangunan Jaya

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

The idea behind Multi Indocitra Tbk and Pembangunan Jaya Ancol 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 CEOs Directory module to screen CEOs from public companies around the world.