Correlation Between PT Mulia and PT Sreeya
Can any of the company-specific risk be diversified away by investing in both PT Mulia and PT Sreeya 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 PT Mulia and PT Sreeya into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between PT Mulia Industrindo and PT Sreeya Sewu, you can compare the effects of market volatilities on PT Mulia and PT Sreeya 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 PT Mulia with a short position of PT Sreeya. Check out your portfolio center. Please also check ongoing floating volatility patterns of PT Mulia and PT Sreeya.
Diversification Opportunities for PT Mulia and PT Sreeya
Poor diversification
The 3 months correlation between MLIA and SIPD is 0.6. Overlapping area represents the amount of risk that can be diversified away by holding PT Mulia Industrindo and PT Sreeya Sewu in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on PT Sreeya Sewu and PT Mulia 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 PT Mulia Industrindo are associated (or correlated) with PT Sreeya. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of PT Sreeya Sewu has no effect on the direction of PT Mulia i.e., PT Mulia and PT Sreeya go up and down completely randomly.
Pair Corralation between PT Mulia and PT Sreeya
Assuming the 90 days trading horizon PT Mulia Industrindo is expected to under-perform the PT Sreeya. But the stock apears to be less risky and, when comparing its historical volatility, PT Mulia Industrindo is 2.73 times less risky than PT Sreeya. The stock trades about -0.05 of its potential returns per unit of risk. The PT Sreeya Sewu is currently generating about 0.0 of returns per unit of risk over similar time horizon. If you would invest 125,000 in PT Sreeya Sewu on September 6, 2024 and sell it today you would lose (42,000) from holding PT Sreeya Sewu or give up 33.6% of portfolio value over 90 days.
Time Period | 3 Months [change] |
Direction | Moves Together |
Strength | Significant |
Accuracy | 100.0% |
Values | Daily Returns |
PT Mulia Industrindo vs. PT Sreeya Sewu
Performance |
Timeline |
PT Mulia Industrindo |
PT Sreeya Sewu |
PT Mulia and PT Sreeya Volatility Contrast
Predicted Return Density |
Returns |
Pair Trading with PT Mulia and PT Sreeya
The main advantage of trading using opposite PT Mulia and PT Sreeya positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if PT Mulia position performs unexpectedly, PT Sreeya 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 Sreeya will offset losses from the drop in PT Sreeya's long position.PT Mulia vs. Suparma Tbk | PT Mulia vs. Pelangi Indah Canindo | PT Mulia vs. Surya Toto Indonesia | PT Mulia vs. Lautan Luas Tbk |
PT Sreeya vs. Astra International Tbk | PT Sreeya vs. Telkom Indonesia Tbk | PT Sreeya vs. Bank Mandiri Persero | PT Sreeya vs. Perusahaan Gas Negara |
Check out your portfolio center.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 My Watchlist Analysis module to analyze my current watchlist and to refresh optimization strategy. Macroaxis watchlist is based on self-learning algorithm to remember stocks you like.
Other Complementary Tools
Alpha Finder Use alpha and beta coefficients to find investment opportunities after accounting for the risk | |
Commodity Directory Find actively traded commodities issued by global exchanges | |
Piotroski F Score Get Piotroski F Score based on the binary analysis strategy of nine different fundamentals | |
Stock Tickers Use high-impact, comprehensive, and customizable stock tickers that can be easily integrated to any websites | |
Share Portfolio Track or share privately all of your investments from the convenience of any device |