Correlation Between Catur Sentosa and Duta Intidaya

Can any of the company-specific risk be diversified away by investing in both Catur Sentosa and Duta Intidaya 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 Catur Sentosa and Duta Intidaya into the same portfolio, which is an essential part of the fundamental portfolio management process.

By analyzing existing cross correlation between Catur Sentosa Adiprana and Duta Intidaya Tbk, you can compare the effects of market volatilities on Catur Sentosa and Duta Intidaya 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 Catur Sentosa with a short position of Duta Intidaya. Check out your portfolio center. Please also check ongoing floating volatility patterns of Catur Sentosa and Duta Intidaya.

Diversification Opportunities for Catur Sentosa and Duta Intidaya

-0.65

Correlation Coefficient

Catur Sentosa  Duta Intidaya

Excellent diversification

The 3 months correlation between Catur and Duta is -0.65. Overlapping area represents the amount of risk that can be diversified away by holding Catur Sentosa Adiprana and Duta Intidaya Tbk in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Duta Intidaya Tbk and Catur Sentosa 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 Catur Sentosa Adiprana are associated (or correlated) with Duta Intidaya. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Duta Intidaya Tbk has no effect on the direction of Catur Sentosa i.e., Catur Sentosa and Duta Intidaya go up and down completely randomly.

Pair Corralation between Catur Sentosa and Duta Intidaya

Assuming the 90 days trading horizon Catur Sentosa Adiprana is expected to under-perform the Duta Intidaya. But the stock apears to be less risky and, when comparing its historical volatility, Catur Sentosa Adiprana is 1.57 times less risky than Duta Intidaya. The stock trades about -0.03 of its potential returns per unit of risk. The Duta Intidaya Tbk is currently generating about 0.13 of returns per unit of risk over similar time horizon. If you would invest  47,200  in Duta Intidaya Tbk on September 16, 2024 and sell it today you would earn a total of  15,800  from holding Duta Intidaya Tbk or generate 33.47% return on investment over 90 days.

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

Catur Sentosa Adiprana  vs.  Duta Intidaya Tbk

Catur Sentosa Adiprana

Risk-Adjusted Performance

0 of 100

Very Weak

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

Duta Intidaya Tbk

Risk-Adjusted Performance

10 of 100

OK

Compared to the overall equity markets, risk-adjusted returns on investments in Duta Intidaya Tbk are ranked lower than 10 (%) of all global equities and portfolios over the last 90 days. Despite quite conflicting forward-looking signals, Duta Intidaya disclosed solid returns over the last few months and may actually be approaching a breakup point.

Pair Trading with Catur Sentosa and Duta Intidaya

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

The idea behind Catur Sentosa Adiprana and Duta Intidaya 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.

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 Performance Analysis module to check effects of mean-variance optimization against your current asset allocation.