Correlation Analysis Between PT Indofood and Nestl S

This module allows you to analyze existing cross correlation between PT Indofood Sukses Makmur Tbk and Nestl S A. You can compare the effects of market volatilities on PT Indofood and Nestl S 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 PT Indofood with a short position of Nestl S. See also your portfolio center. Please also check ongoing floating volatility patterns of PT Indofood and Nestl S.
Horizon     30 Days    Login   to change
Symbolsvs
Check Efficiency

Comparative Performance

PT Indofood Sukses  
00

Risk-Adjusted Performance

Over the last 30 days PT Indofood Sukses Makmur Tbk has generated negative risk-adjusted returns adding no value to investors with long positions. Inspite weak performance in the last few months, the Stock's basic indicators remain fairly strong which may send shares a bit higher in June 2019. The current disturbance may also be a sign of long term up-swing for the company investors.
Nestl S A  
77

Risk-Adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in Nestl S A are ranked lower than 7 (%) of all global equities and portfolios over the last 30 days. In spite of rather sound fundamental drivers, Nestl S is not utilizing all of its potentials. The current stock price tumult, may contribute to shorter-term losses for the shareholders.

PT Indofood and Nestl S Volatility Contrast

 Predicted Return Density 
      Returns 

PT Indofood Sukses Makmur Tbk  vs.  Nestl S A

 Performance (%) 
      Timeline 

Pair Volatility

Assuming 30 trading days horizon, PT Indofood Sukses Makmur Tbk is expected to under-perform the Nestl S. In addition to that, PT Indofood is 5.71 times more volatile than Nestl S A. It trades about -0.06 of its total potential returns per unit of risk. Nestl S A is currently generating about 0.11 per unit of volatility. If you would invest  9,587  in Nestl S A on April 25, 2019 and sell it today you would earn a total of  280.00  from holding Nestl S A or generate 2.92% return on investment over 30 days.

Pair Corralation between PT Indofood and Nestl S

-0.24
Time Period2 Months [change]
DirectionNegative 
StrengthInsignificant
Accuracy100.0%
ValuesDaily Returns

Diversification Opportunities for PT Indofood and Nestl S

PT Indofood Sukses Makmur Tbk diversification synergy

Very good diversification

Overlapping area represents the amount of risk that can be diversified away by holding PT Indofood Sukses Makmur Tbk and Nestl S A in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on Nestl S A and PT Indofood 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 PT Indofood Sukses Makmur Tbk are associated (or correlated) with Nestl S. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Nestl S A has no effect on the direction of PT Indofood i.e. PT Indofood and Nestl S go up and down completely randomly.
See also your portfolio center. Please also try Competition Analyzer module to analyze and compare many basic indicators for a group of related or unrelated entities.


 
Search macroaxis.com