Correlation Between Sumber Alfaria and Enseval Putra
Can any of the company-specific risk be diversified away by investing in both Sumber Alfaria and Enseval Putra 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 Enseval Putra 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 Enseval Putra Megatrading, you can compare the effects of market volatilities on Sumber Alfaria and Enseval Putra 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 Enseval Putra. Check out your portfolio center. Please also check ongoing floating volatility patterns of Sumber Alfaria and Enseval Putra.
Diversification Opportunities for Sumber Alfaria and Enseval Putra
0.75 | Correlation Coefficient |
Poor diversification
The 3 months correlation between Sumber and Enseval is 0.75. Overlapping area represents the amount of risk that can be diversified away by holding Sumber Alfaria Trijaya and Enseval Putra Megatrading in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Enseval Putra Megatrading 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 Enseval Putra. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Enseval Putra Megatrading has no effect on the direction of Sumber Alfaria i.e., Sumber Alfaria and Enseval Putra go up and down completely randomly.
Pair Corralation between Sumber Alfaria and Enseval Putra
Assuming the 90 days trading horizon Sumber Alfaria Trijaya is expected to under-perform the Enseval Putra. In addition to that, Sumber Alfaria is 2.17 times more volatile than Enseval Putra Megatrading. It trades about -0.15 of its total potential returns per unit of risk. Enseval Putra Megatrading is currently generating about -0.11 per unit of volatility. If you would invest 249,000 in Enseval Putra Megatrading on October 26, 2024 and sell it today you would lose (19,000) from holding Enseval Putra Megatrading or give up 7.63% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Sumber Alfaria Trijaya vs. Enseval Putra Megatrading
Performance |
| Timeline |
| Sumber Alfaria Trijaya |
| Enseval Putra Megatrading |
Sumber Alfaria and Enseval Putra Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Sumber Alfaria and Enseval Putra
The main advantage of trading using opposite Sumber Alfaria and Enseval Putra positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Sumber Alfaria position performs unexpectedly, Enseval Putra 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 Enseval Putra will offset losses from the drop in Enseval Putra'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 |
| Enseval Putra vs. Astra Graphia Tbk | Enseval Putra vs. Hexindo Adiperkasa Tbk | Enseval Putra vs. Lautan Luas Tbk | Enseval Putra vs. Citra Marga Nusaphala |
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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