Correlation Between Nusa Raya and Acset Indonusa

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

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

Diversification Opportunities for Nusa Raya and Acset Indonusa

-0.08

Correlation Coefficient

Nusa Raya  Acset Indonusa

Good diversification

The 3 months correlation between Nusa and Acset is -0.08. Overlapping area represents the amount of risk that can be diversified away by holding Nusa Raya Cipta and Acset Indonusa Tbk in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Acset Indonusa Tbk and Nusa Raya 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 Nusa Raya Cipta are associated (or correlated) with Acset Indonusa. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Acset Indonusa Tbk has no effect on the direction of Nusa Raya i.e., Nusa Raya and Acset Indonusa go up and down completely randomly.

Pair Corralation between Nusa Raya and Acset Indonusa

Assuming the 90 days trading horizon Nusa Raya Cipta is expected to generate 1.41 times more return on investment than Acset Indonusa. However, Nusa Raya is 1.41 times more volatile than Acset Indonusa Tbk. It trades about -0.01 of its potential returns per unit of risk. Acset Indonusa Tbk is currently generating about -0.25 per unit of risk. If you would invest  36,200  in Nusa Raya Cipta on September 19, 2024 and sell it today you would lose (1,200) from holding Nusa Raya Cipta or give up 3.31% of portfolio value over 90 days.

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

Nusa Raya Cipta  vs.  Acset Indonusa Tbk

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.

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.

Pair Trading with Nusa Raya and Acset Indonusa

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

The idea behind Nusa Raya Cipta and Acset Indonusa 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 Fundamental Analysis module to view fundamental data based on most recent published financial statements.