Correlation Between Sumber Alfaria and Pertamina Geothermal
Can any of the company-specific risk be diversified away by investing in both Sumber Alfaria and Pertamina Geothermal 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 Pertamina Geothermal 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 Pertamina Geothermal Energy, you can compare the effects of market volatilities on Sumber Alfaria and Pertamina Geothermal 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 Pertamina Geothermal. Check out your portfolio center. Please also check ongoing floating volatility patterns of Sumber Alfaria and Pertamina Geothermal.
Diversification Opportunities for Sumber Alfaria and Pertamina Geothermal
0.56 | Correlation Coefficient |
Very weak diversification
The 3 months correlation between Sumber and Pertamina is 0.56. Overlapping area represents the amount of risk that can be diversified away by holding Sumber Alfaria Trijaya and Pertamina Geothermal Energy in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Pertamina Geothermal 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 Pertamina Geothermal. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Pertamina Geothermal has no effect on the direction of Sumber Alfaria i.e., Sumber Alfaria and Pertamina Geothermal go up and down completely randomly.
Pair Corralation between Sumber Alfaria and Pertamina Geothermal
Assuming the 90 days trading horizon Sumber Alfaria Trijaya is expected to under-perform the Pertamina Geothermal. In addition to that, Sumber Alfaria is 1.77 times more volatile than Pertamina Geothermal Energy. It trades about -0.14 of its total potential returns per unit of risk. Pertamina Geothermal Energy is currently generating about -0.22 per unit of volatility. If you would invest 96,000 in Pertamina Geothermal Energy on October 23, 2024 and sell it today you would lose (4,000) from holding Pertamina Geothermal Energy or give up 4.17% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
Sumber Alfaria Trijaya vs. Pertamina Geothermal Energy
Performance |
| Timeline |
| Sumber Alfaria Trijaya |
| Pertamina Geothermal |
Sumber Alfaria and Pertamina Geothermal Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Sumber Alfaria and Pertamina Geothermal
The main advantage of trading using opposite Sumber Alfaria and Pertamina Geothermal positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Sumber Alfaria position performs unexpectedly, Pertamina Geothermal 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 Pertamina Geothermal will offset losses from the drop in Pertamina Geothermal's long position.| Sumber Alfaria vs. Elang Mahkota Teknologi | Sumber Alfaria vs. Ace Hardware Indonesia | Sumber Alfaria vs. BFI Finance Indonesia | Sumber Alfaria vs. Mitra Keluarga Karyasehat |
| Pertamina Geothermal vs. Fast Food Indonesia | Pertamina Geothermal vs. Chandra Asri Petrochemical | Pertamina Geothermal vs. Garudafood Putra Putri | Pertamina Geothermal vs. FKS Food Sejahtera |
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 Watchlist Optimization module to optimize watchlists to build efficient portfolios or rebalance existing positions based on the mean-variance optimization algorithm.
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