Correlation Between Citra Marga and Darya Varia

Can any of the company-specific risk be diversified away by investing in both Citra Marga and Darya Varia 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 Citra Marga and Darya Varia into the same portfolio, which is an essential part of the fundamental portfolio management process.

By analyzing existing cross correlation between Citra Marga Nusaphala and Darya Varia Laboratoria Tbk, you can compare the effects of market volatilities on Citra Marga and Darya Varia 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 Citra Marga with a short position of Darya Varia. Check out your portfolio center. Please also check ongoing floating volatility patterns of Citra Marga and Darya Varia.

Diversification Opportunities for Citra Marga and Darya Varia

-0.01

Correlation Coefficient

Citra Marga  Darya Varia

Good diversification

The 3 months correlation between Citra and Darya is -0.01. Overlapping area represents the amount of risk that can be diversified away by holding Citra Marga Nusaphala and Darya Varia Laboratoria Tbk in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Darya Varia Laboratoria and Citra Marga 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 Citra Marga Nusaphala are associated (or correlated) with Darya Varia. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Darya Varia Laboratoria has no effect on the direction of Citra Marga i.e., Citra Marga and Darya Varia go up and down completely randomly.

Pair Corralation between Citra Marga and Darya Varia

Assuming the 90 days trading horizon Citra Marga Nusaphala is expected to under-perform the Darya Varia. But the stock apears to be less risky and, when comparing its historical volatility, Citra Marga Nusaphala is 1.5 times less risky than Darya Varia. The stock trades about -0.17 of its potential returns per unit of risk. The Darya Varia Laboratoria Tbk is currently generating about -0.02 of returns per unit of risk over similar time horizon. If you would invest  166,461  in Darya Varia Laboratoria Tbk on September 18, 2024 and sell it today you would lose (2,961) from holding Darya Varia Laboratoria Tbk or give up 1.78% of portfolio value over 90 days.

Time Period	3 Months [change]
Direction	Moves Against
Strength	Insignificant
Accuracy	98.44%
Values	Daily Returns

Citra Marga Nusaphala  vs.  Darya Varia Laboratoria Tbk

Citra Marga Nusaphala

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Citra Marga Nusaphala 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.

Darya Varia Laboratoria

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Darya Varia Laboratoria Tbk has generated negative risk-adjusted returns adding no value to investors with long positions. Despite quite persistent forward-looking signals, Darya Varia 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 Citra Marga and Darya Varia

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

The idea behind Citra Marga Nusaphala and Darya Varia Laboratoria Tbk 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 Bollinger Bands module to use Bollinger Bands indicator to analyze target price for a given investing horizon.