Correlation Between Sepatu Bata and Argo Pantes
Can any of the company-specific risk be diversified away by investing in both Sepatu Bata and Argo Pantes 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 Sepatu Bata and Argo Pantes into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Sepatu Bata Tbk and Argo Pantes Tbk, you can compare the effects of market volatilities on Sepatu Bata and Argo Pantes 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 Sepatu Bata with a short position of Argo Pantes. Check out your portfolio center. Please also check ongoing floating volatility patterns of Sepatu Bata and Argo Pantes.
Diversification Opportunities for Sepatu Bata and Argo Pantes
0.73 | Correlation Coefficient |
Poor diversification
The 3 months correlation between Sepatu and Argo is 0.73. Overlapping area represents the amount of risk that can be diversified away by holding Sepatu Bata Tbk and Argo Pantes Tbk in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Argo Pantes Tbk and Sepatu Bata 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 Sepatu Bata Tbk are associated (or correlated) with Argo Pantes. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Argo Pantes Tbk has no effect on the direction of Sepatu Bata i.e., Sepatu Bata and Argo Pantes go up and down completely randomly.
Pair Corralation between Sepatu Bata and Argo Pantes
Assuming the 90 days trading horizon Sepatu Bata Tbk is expected to under-perform the Argo Pantes. But the stock apears to be less risky and, when comparing its historical volatility, Sepatu Bata Tbk is 1.3 times less risky than Argo Pantes. The stock trades about -0.3 of its potential returns per unit of risk. The Argo Pantes Tbk is currently generating about -0.19 of returns per unit of risk over similar time horizon. If you would invest 112,000 in Argo Pantes Tbk on August 29, 2024 and sell it today you would lose (12,500) from holding Argo Pantes Tbk or give up 11.16% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 95.65% |
| Values | Daily Returns |
Sepatu Bata Tbk vs. Argo Pantes Tbk
Performance |
| Timeline |
| Sepatu Bata Tbk |
| Argo Pantes Tbk |
Sepatu Bata and Argo Pantes Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Sepatu Bata and Argo Pantes
The main advantage of trading using opposite Sepatu Bata and Argo Pantes positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Sepatu Bata position performs unexpectedly, Argo Pantes 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 Argo Pantes will offset losses from the drop in Argo Pantes' long position.| Sepatu Bata vs. Indo Kordsa Tbk | Sepatu Bata vs. Goodyear Indonesia Tbk | Sepatu Bata vs. Argo Pantes Tbk | Sepatu Bata vs. Primarindo Asia Infrastructure |
| Argo Pantes vs. Sepatu Bata Tbk | Argo Pantes vs. Ever Shine Textile | Argo Pantes vs. Eratex Djaja Tbk | Argo Pantes vs. PT Century Textile |
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 Financial Widgets module to easily integrated Macroaxis content with over 30 different plug-and-play financial widgets.
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