Correlation Between Menthobi Karyatama and PT Puri

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

By analyzing existing cross correlation between Menthobi Karyatama Raya and PT Puri Sentul, you can compare the effects of market volatilities on Menthobi Karyatama and PT Puri 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 Menthobi Karyatama with a short position of PT Puri. Check out your portfolio center. Please also check ongoing floating volatility patterns of Menthobi Karyatama and PT Puri.

Diversification Opportunities for Menthobi Karyatama and PT Puri

0.47

Correlation Coefficient

Menthobi Karyatama  PT Puri

Very weak diversification

The 3 months correlation between Menthobi and KDTN is 0.47. Overlapping area represents the amount of risk that can be diversified away by holding Menthobi Karyatama Raya and PT Puri Sentul in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on PT Puri Sentul and Menthobi Karyatama 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 Menthobi Karyatama Raya are associated (or correlated) with PT Puri. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of PT Puri Sentul has no effect on the direction of Menthobi Karyatama i.e., Menthobi Karyatama and PT Puri go up and down completely randomly.

Pair Corralation between Menthobi Karyatama and PT Puri

Assuming the 90 days trading horizon Menthobi Karyatama Raya is expected to under-perform the PT Puri. But the stock apears to be less risky and, when comparing its historical volatility, Menthobi Karyatama Raya is 3.8 times less risky than PT Puri. The stock trades about -0.02 of its potential returns per unit of risk. The PT Puri Sentul is currently generating about 0.12 of returns per unit of risk over similar time horizon. If you would invest  10,700  in PT Puri Sentul on December 4, 2024 and sell it today you would earn a total of  1,800  from holding PT Puri Sentul or generate 16.82% return on investment over 90 days.

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

Menthobi Karyatama Raya  vs.  PT Puri Sentul

Menthobi Karyatama Raya

Risk-Adjusted Performance

Very Weak

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

PT Puri Sentul

Risk-Adjusted Performance

OK

Compared to the overall equity markets, risk-adjusted returns on investments in PT Puri Sentul are ranked lower than 9 (%) of all global equities and portfolios over the last 90 days. Despite quite conflicting forward-looking signals, PT Puri disclosed solid returns over the last few months and may actually be approaching a breakup point.

Pair Trading with Menthobi Karyatama and PT Puri

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

The idea behind Menthobi Karyatama Raya and PT Puri Sentul 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 Piotroski F Score module to get Piotroski F Score based on the binary analysis strategy of nine different fundamentals.