Correlation Between Surya Citra and Media Nusantara
Can any of the company-specific risk be diversified away by investing in both Surya Citra and Media Nusantara 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 Surya Citra and Media Nusantara into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Surya Citra Media and Media Nusantara Citra, you can compare the effects of market volatilities on Surya Citra and Media Nusantara 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 Surya Citra with a short position of Media Nusantara. Check out your portfolio center. Please also check ongoing floating volatility patterns of Surya Citra and Media Nusantara.
Diversification Opportunities for Surya Citra and Media Nusantara
-0.24 | Correlation Coefficient |
Very good diversification
The 3 months correlation between Surya and Media is -0.24. Overlapping area represents the amount of risk that can be diversified away by holding Surya Citra Media and Media Nusantara Citra in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Media Nusantara Citra and Surya Citra 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 Surya Citra Media are associated (or correlated) with Media Nusantara. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Media Nusantara Citra has no effect on the direction of Surya Citra i.e., Surya Citra and Media Nusantara go up and down completely randomly.
Pair Corralation between Surya Citra and Media Nusantara
Assuming the 90 days trading horizon Surya Citra Media is expected to generate 1.96 times more return on investment than Media Nusantara. However, Surya Citra is 1.96 times more volatile than Media Nusantara Citra. It trades about 0.2 of its potential returns per unit of risk. Media Nusantara Citra is currently generating about -0.06 per unit of risk. If you would invest 11,620 in Surya Citra Media on September 13, 2024 and sell it today you would earn a total of 5,680 from holding Surya Citra Media or generate 48.88% return on investment over 90 days.
Time Period | 3 Months [change] |
Direction | Moves Against |
Strength | Insignificant |
Accuracy | 100.0% |
Values | Daily Returns |
Surya Citra Media vs. Media Nusantara Citra
Performance |
Timeline |
Surya Citra Media |
Media Nusantara Citra |
Surya Citra and Media Nusantara Volatility Contrast
Predicted Return Density |
Returns |
Pair Trading with Surya Citra and Media Nusantara
The main advantage of trading using opposite Surya Citra and Media Nusantara positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Surya Citra position performs unexpectedly, Media Nusantara 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 Media Nusantara will offset losses from the drop in Media Nusantara's long position.Surya Citra vs. Mnc Land Tbk | Surya Citra vs. MNC Vision Networks | Surya Citra vs. MD Pictures Tbk | Surya Citra vs. Link Net Tbk |
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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 Price Exposure Probability module to analyze equity upside and downside potential for a given time horizon across multiple markets.
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