Correlation Between Sumber Alfaria and Elang Mahkota
Can any of the company-specific risk be diversified away by investing in both Sumber Alfaria and Elang Mahkota 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 Sumber Alfaria and Elang Mahkota into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Sumber Alfaria Trijaya and Elang Mahkota Teknologi, you can compare the effects of market volatilities on Sumber Alfaria and Elang Mahkota 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 Sumber Alfaria with a short position of Elang Mahkota. Check out your portfolio center. Please also check ongoing floating volatility patterns of Sumber Alfaria and Elang Mahkota.
Diversification Opportunities for Sumber Alfaria and Elang Mahkota
-0.37 | Correlation Coefficient |
Very good diversification
The 3 months correlation between Sumber and Elang is -0.37. Overlapping area represents the amount of risk that can be diversified away by holding Sumber Alfaria Trijaya and Elang Mahkota Teknologi in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Elang Mahkota Teknologi and Sumber Alfaria 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 Sumber Alfaria Trijaya are associated (or correlated) with Elang Mahkota. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Elang Mahkota Teknologi has no effect on the direction of Sumber Alfaria i.e., Sumber Alfaria and Elang Mahkota go up and down completely randomly.
Pair Corralation between Sumber Alfaria and Elang Mahkota
Assuming the 90 days trading horizon Sumber Alfaria is expected to generate 3.51 times less return on investment than Elang Mahkota. But when comparing it to its historical volatility, Sumber Alfaria Trijaya is 1.42 times less risky than Elang Mahkota. It trades about 0.06 of its potential returns per unit of risk. Elang Mahkota Teknologi is currently generating about 0.14 of returns per unit of risk over similar time horizon. If you would invest 52,500 in Elang Mahkota Teknologi on November 3, 2024 and sell it today you would earn a total of 4,500 from holding Elang Mahkota Teknologi or generate 8.57% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Insignificant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Sumber Alfaria Trijaya vs. Elang Mahkota Teknologi
Performance |
| Timeline |
| Sumber Alfaria Trijaya |
| Elang Mahkota Teknologi |
Sumber Alfaria and Elang Mahkota Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Sumber Alfaria and Elang Mahkota
The main advantage of trading using opposite Sumber Alfaria and Elang Mahkota positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Sumber Alfaria position performs unexpectedly, Elang Mahkota 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 Elang Mahkota will offset losses from the drop in Elang Mahkota's long position.| Sumber Alfaria vs. Elang Mahkota Teknologi | Sumber Alfaria vs. Ace Hardware Indonesia | Sumber Alfaria vs. BFI Finance Indonesia | Sumber Alfaria vs. Tower Bersama Infrastructure |
| Elang Mahkota vs. Bank Artos Indonesia | Elang Mahkota vs. PT Bukalapak | Elang Mahkota vs. Sumber Alfaria Trijaya | Elang Mahkota vs. Merdeka Copper Gold |
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 Idea Breakdown module to analyze constituents of all Macroaxis ideas. Macroaxis investment ideas are predefined, sector-focused investing themes.
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