Correlation Between RTSI Index and IDX 30
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By analyzing existing cross correlation between RTSI Index and IDX 30 Jakarta, you can compare the effects of market volatilities on RTSI Index and IDX 30 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 RTSI Index with a short position of IDX 30. Check out your portfolio center. Please also check ongoing floating volatility patterns of RTSI Index and IDX 30.
Diversification Opportunities for RTSI Index and IDX 30
-0.54 | Correlation Coefficient |
Excellent diversification
The 3 months correlation between RTSI and IDX is -0.54. Overlapping area represents the amount of risk that can be diversified away by holding RTSI Index and IDX 30 Jakarta in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on IDX 30 Jakarta and RTSI Index 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 RTSI Index are associated (or correlated) with IDX 30. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of IDX 30 Jakarta has no effect on the direction of RTSI Index i.e., RTSI Index and IDX 30 go up and down completely randomly.
Pair Corralation between RTSI Index and IDX 30
Assuming the 90 days trading horizon RTSI Index is expected to generate 0.45 times more return on investment than IDX 30. However, RTSI Index is 2.22 times less risky than IDX 30. It trades about 0.3 of its potential returns per unit of risk. IDX 30 Jakarta is currently generating about -0.41 per unit of risk. If you would invest 114,730 in RTSI Index on January 30, 2024 and sell it today you would earn a total of 4,119 from holding RTSI Index or generate 3.59% return on investment over 90 days.
Time Period | 3 Months [change] |
Direction | Moves Against |
Strength | Very Weak |
Accuracy | 71.43% |
Values | Daily Returns |
RTSI Index vs. IDX 30 Jakarta
Performance |
Timeline |
RTSI Index and IDX 30 Volatility Contrast
Predicted Return Density |
Returns |
RTSI Index
Pair trading matchups for RTSI Index
IDX 30 Jakarta
Pair trading matchups for IDX 30
Pair Trading with RTSI Index and IDX 30
The main advantage of trading using opposite RTSI Index and IDX 30 positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if RTSI Index position performs unexpectedly, IDX 30 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 IDX 30 will offset losses from the drop in IDX 30's long position.RTSI Index vs. KAMAZ Publicly Traded | RTSI Index vs. Novolipetsk Steel PAO | RTSI Index vs. Sovcombank | RTSI Index vs. Chelyabinsk Metallurg Kombinat |
IDX 30 vs. First Media Tbk | IDX 30 vs. Electronic City Indonesia | IDX 30 vs. Indosterling TechnomediaTbk | IDX 30 vs. Dyandra Media International |
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 Alpha Finder module to use alpha and beta coefficients to find investment opportunities after accounting for the risk.
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