Correlation Between Alumindo Light and Surya Citra
Can any of the company-specific risk be diversified away by investing in both Alumindo Light and Surya Citra 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 Alumindo Light and Surya Citra into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Alumindo Light Metal and Surya Citra Media, you can compare the effects of market volatilities on Alumindo Light and Surya Citra 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 Alumindo Light with a short position of Surya Citra. Check out your portfolio center. Please also check ongoing floating volatility patterns of Alumindo Light and Surya Citra.
Diversification Opportunities for Alumindo Light and Surya Citra
0.01 | Correlation Coefficient |
Significant diversification
The 3 months correlation between Alumindo and Surya is 0.01. Overlapping area represents the amount of risk that can be diversified away by holding Alumindo Light Metal and Surya Citra Media in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Surya Citra Media and Alumindo Light 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 Alumindo Light Metal are associated (or correlated) with Surya Citra. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Surya Citra Media has no effect on the direction of Alumindo Light i.e., Alumindo Light and Surya Citra go up and down completely randomly.
Pair Corralation between Alumindo Light and Surya Citra
Assuming the 90 days trading horizon Alumindo Light Metal is expected to under-perform the Surya Citra. In addition to that, Alumindo Light is 1.78 times more volatile than Surya Citra Media. It trades about -0.07 of its total potential returns per unit of risk. Surya Citra Media is currently generating about 0.0 per unit of volatility. If you would invest 14,008 in Surya Citra Media on September 1, 2024 and sell it today you would lose (1,108) from holding Surya Citra Media or give up 7.91% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Insignificant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Alumindo Light Metal vs. Surya Citra Media
Performance |
| Timeline |
| Alumindo Light Metal |
| Surya Citra Media |
Alumindo Light and Surya Citra Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Alumindo Light and Surya Citra
The main advantage of trading using opposite Alumindo Light and Surya Citra positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Alumindo Light position performs unexpectedly, Surya Citra 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 Surya Citra will offset losses from the drop in Surya Citra's long position.| Alumindo Light vs. Perusahaan Gas Negara | Alumindo Light vs. Telkom Indonesia Tbk | Alumindo Light vs. Mitra Pinasthika Mustika | Alumindo Light vs. Jakarta Int Hotels |
| Surya Citra vs. Media Nusantara Citra | Surya Citra vs. Matahari Department Store | Surya Citra vs. Akr Corporindo Tbk | Surya Citra vs. XL Axiata Tbk |
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 Money Managers module to screen money managers from public funds and ETFs managed around the world.
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