Correlation Between Duta Intidaya and Pembangunan Graha

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

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

Diversification Opportunities for Duta Intidaya and Pembangunan Graha

0.71

Correlation Coefficient

Duta Intidaya  Pembangunan Graha

Poor diversification

The 3 months correlation between Duta and Pembangunan is 0.71. Overlapping area represents the amount of risk that can be diversified away by holding Duta Intidaya Tbk and Pembangunan Graha Lestari in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Pembangunan Graha Lestari and Duta Intidaya 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 Duta Intidaya Tbk are associated (or correlated) with Pembangunan Graha. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Pembangunan Graha Lestari has no effect on the direction of Duta Intidaya i.e., Duta Intidaya and Pembangunan Graha go up and down completely randomly.

Pair Corralation between Duta Intidaya and Pembangunan Graha

Assuming the 90 days trading horizon Duta Intidaya Tbk is expected to generate 1.28 times more return on investment than Pembangunan Graha. However, Duta Intidaya is 1.28 times more volatile than Pembangunan Graha Lestari. It trades about 0.13 of its potential returns per unit of risk. Pembangunan Graha Lestari is currently generating about 0.05 per unit of risk. 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 Together
Strength	Significant
Accuracy	100.0%
Values	Daily Returns

Duta Intidaya Tbk  vs.  Pembangunan Graha Lestari

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.

Pembangunan Graha Lestari

Risk-Adjusted Performance

3 of 100

Insignificant

Compared to the overall equity markets, risk-adjusted returns on investments in Pembangunan Graha Lestari are ranked lower than 3 (%) of all global equities and portfolios over the last 90 days. Despite quite conflicting forward-looking signals, Pembangunan Graha may actually be approaching a critical reversion point that can send shares even higher in January 2025.

Pair Trading with Duta Intidaya and Pembangunan Graha

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

The idea behind Duta Intidaya Tbk and Pembangunan Graha Lestari 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 Portfolio Analyzer module to portfolio analysis module that provides access to portfolio diagnostics and optimization engine.