Correlation Between Nusa Raya and Integra Indocabinet

Can any of the company-specific risk be diversified away by investing in both Nusa Raya and Integra Indocabinet 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 Integra Indocabinet 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 Integra Indocabinet Tbk, you can compare the effects of market volatilities on Nusa Raya and Integra Indocabinet 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 Integra Indocabinet. Check out your portfolio center. Please also check ongoing floating volatility patterns of Nusa Raya and Integra Indocabinet.

Diversification Opportunities for Nusa Raya and Integra Indocabinet

0.3

Correlation Coefficient

Nusa Raya  Integra Indocabinet

Weak diversification

The 3 months correlation between Nusa and Integra is 0.3. Overlapping area represents the amount of risk that can be diversified away by holding Nusa Raya Cipta and Integra Indocabinet Tbk in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Integra Indocabinet 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 Integra Indocabinet. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Integra Indocabinet Tbk has no effect on the direction of Nusa Raya i.e., Nusa Raya and Integra Indocabinet go up and down completely randomly.

Pair Corralation between Nusa Raya and Integra Indocabinet

Assuming the 90 days trading horizon Nusa Raya Cipta is expected to under-perform the Integra Indocabinet. But the stock apears to be less risky and, when comparing its historical volatility, Nusa Raya Cipta is 1.73 times less risky than Integra Indocabinet. The stock trades about -0.01 of its potential returns per unit of risk. The Integra Indocabinet Tbk is currently generating about 0.1 of returns per unit of risk over similar time horizon. If you would invest  24,600  in Integra Indocabinet Tbk on September 19, 2024 and sell it today you would earn a total of  6,400  from holding Integra Indocabinet Tbk or generate 26.02% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Together
Strength	Very Weak
Accuracy	98.44%
Values	Daily Returns

Nusa Raya Cipta  vs.  Integra Indocabinet 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.

Integra Indocabinet Tbk

Risk-Adjusted Performance

8 of 100

OK

Compared to the overall equity markets, risk-adjusted returns on investments in Integra Indocabinet Tbk are ranked lower than 8 (%) of all global equities and portfolios over the last 90 days. Despite quite conflicting forward-looking signals, Integra Indocabinet disclosed solid returns over the last few months and may actually be approaching a breakup point.

Pair Trading with Nusa Raya and Integra Indocabinet

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

The idea behind Nusa Raya Cipta and Integra Indocabinet 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 Latest Portfolios module to quick portfolio dashboard that showcases your latest portfolios.