Correlation Between Mustika Ratu and Modern Internasional

Can any of the company-specific risk be diversified away by investing in both Mustika Ratu and Modern Internasional 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 Mustika Ratu and Modern Internasional into the same portfolio, which is an essential part of the fundamental portfolio management process.

By analyzing existing cross correlation between Mustika Ratu Tbk and Modern Internasional Tbk, you can compare the effects of market volatilities on Mustika Ratu and Modern Internasional 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 Mustika Ratu with a short position of Modern Internasional. Check out your portfolio center. Please also check ongoing floating volatility patterns of Mustika Ratu and Modern Internasional.

Diversification Opportunities for Mustika Ratu and Modern Internasional

0.77

Correlation Coefficient

Mustika Ratu  Modern Internasional

Poor diversification

The 3 months correlation between Mustika and Modern is 0.77. Overlapping area represents the amount of risk that can be diversified away by holding Mustika Ratu Tbk and Modern Internasional Tbk in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Modern Internasional Tbk and Mustika Ratu 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 Mustika Ratu Tbk are associated (or correlated) with Modern Internasional. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Modern Internasional Tbk has no effect on the direction of Mustika Ratu i.e., Mustika Ratu and Modern Internasional go up and down completely randomly.

Pair Corralation between Mustika Ratu and Modern Internasional

Assuming the 90 days trading horizon Mustika Ratu Tbk is expected to under-perform the Modern Internasional. But the stock apears to be less risky and, when comparing its historical volatility, Mustika Ratu Tbk is 4.4 times less risky than Modern Internasional. The stock trades about -0.24 of its potential returns per unit of risk. The Modern Internasional Tbk is currently generating about 0.04 of returns per unit of risk over similar time horizon. If you would invest  700.00  in Modern Internasional Tbk on September 15, 2024 and sell it today you would earn a total of  0.00  from holding Modern Internasional Tbk or generate 0.0% return on investment over 90 days.

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

Mustika Ratu Tbk  vs.  Modern Internasional Tbk

Mustika Ratu Tbk

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Mustika Ratu 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.

Modern Internasional Tbk

Risk-Adjusted Performance

3 of 100

Insignificant

Compared to the overall equity markets, risk-adjusted returns on investments in Modern Internasional Tbk are ranked lower than 3 (%) of all global equities and portfolios over the last 90 days. Despite quite conflicting forward-looking signals, Modern Internasional disclosed solid returns over the last few months and may actually be approaching a breakup point.

Pair Trading with Mustika Ratu and Modern Internasional

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

The idea behind Mustika Ratu Tbk and Modern Internasional 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 Positions Ratings module to determine portfolio positions ratings based on digital equity recommendations. Macroaxis instant position ratings are based on combination of fundamental analysis and risk-adjusted market performance.