Correlation Between Acset Indonusa and Nusa Raya

Can any of the company-specific risk be diversified away by investing in both Acset Indonusa and Nusa Raya 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 Acset Indonusa and Nusa Raya into the same portfolio, which is an essential part of the fundamental portfolio management process.

By analyzing existing cross correlation between Acset Indonusa Tbk and Nusa Raya Cipta, you can compare the effects of market volatilities on Acset Indonusa and Nusa Raya 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 Acset Indonusa with a short position of Nusa Raya. Check out your portfolio center. Please also check ongoing floating volatility patterns of Acset Indonusa and Nusa Raya.

Diversification Opportunities for Acset Indonusa and Nusa Raya

-0.03

Correlation Coefficient

Acset Indonusa  Nusa Raya

Good diversification

The 3 months correlation between Acset and Nusa is -0.03. Overlapping area represents the amount of risk that can be diversified away by holding Acset Indonusa Tbk and Nusa Raya Cipta in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Nusa Raya Cipta and Acset Indonusa 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 Acset Indonusa Tbk are associated (or correlated) with Nusa Raya. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Nusa Raya Cipta has no effect on the direction of Acset Indonusa i.e., Acset Indonusa and Nusa Raya go up and down completely randomly.

Pair Corralation between Acset Indonusa and Nusa Raya

Assuming the 90 days trading horizon Acset Indonusa Tbk is expected to under-perform the Nusa Raya. But the stock apears to be less risky and, when comparing its historical volatility, Acset Indonusa Tbk is 1.43 times less risky than Nusa Raya. The stock trades about -0.22 of its potential returns per unit of risk. The Nusa Raya Cipta is currently generating about -0.01 of returns per unit of risk over similar time horizon. If you would invest  36,000  in Nusa Raya Cipta on September 20, 2024 and sell it today you would lose (1,200) from holding Nusa Raya Cipta or give up 3.33% of portfolio value over 90 days.

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

Acset Indonusa Tbk  vs.  Nusa Raya Cipta

Acset Indonusa Tbk

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Acset Indonusa Tbk 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 January 2025. The latest mess may also be a sign of long-standing up-swing for the company institutional investors.

Nusa Raya Cipta

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Nusa Raya Cipta has generated negative risk-adjusted returns adding no value to investors with long positions. Despite quite persistent forward-looking signals, Nusa Raya 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 Acset Indonusa and Nusa Raya

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

The idea behind Acset Indonusa Tbk and Nusa Raya Cipta 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.

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 Price Transformation module to use Price Transformation models to analyze the depth of different equity instruments across global markets.