Correlation Between Sepatu Bata and Indorama Synthetics
Can any of the company-specific risk be diversified away by investing in both Sepatu Bata and Indorama Synthetics 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 Indorama Synthetics 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 Indorama Synthetics Tbk, you can compare the effects of market volatilities on Sepatu Bata and Indorama Synthetics 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 Indorama Synthetics. Check out your portfolio center. Please also check ongoing floating volatility patterns of Sepatu Bata and Indorama Synthetics.
Diversification Opportunities for Sepatu Bata and Indorama Synthetics
0.72 | Correlation Coefficient |
Poor diversification
The 3 months correlation between Sepatu and Indorama is 0.72. Overlapping area represents the amount of risk that can be diversified away by holding Sepatu Bata Tbk and Indorama Synthetics Tbk in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Indorama Synthetics 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 Indorama Synthetics. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Indorama Synthetics Tbk has no effect on the direction of Sepatu Bata i.e., Sepatu Bata and Indorama Synthetics go up and down completely randomly.
Pair Corralation between Sepatu Bata and Indorama Synthetics
Assuming the 90 days trading horizon Sepatu Bata Tbk is expected to under-perform the Indorama Synthetics. In addition to that, Sepatu Bata is 1.12 times more volatile than Indorama Synthetics Tbk. It trades about -0.17 of its total potential returns per unit of risk. Indorama Synthetics Tbk is currently generating about -0.08 per unit of volatility. If you would invest 349,000 in Indorama Synthetics Tbk on August 25, 2024 and sell it today you would lose (87,000) from holding Indorama Synthetics Tbk or give up 24.93% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 99.44% |
| Values | Daily Returns |
Sepatu Bata Tbk vs. Indorama Synthetics Tbk
Performance |
| Timeline |
| Sepatu Bata Tbk |
| Indorama Synthetics Tbk |
Sepatu Bata and Indorama Synthetics Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Sepatu Bata and Indorama Synthetics
The main advantage of trading using opposite Sepatu Bata and Indorama Synthetics positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Sepatu Bata position performs unexpectedly, Indorama Synthetics 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 Indorama Synthetics will offset losses from the drop in Indorama Synthetics' 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 |
| Indorama Synthetics vs. Indospring Tbk | Indorama Synthetics vs. Indomobil Sukses Internasional | Indorama Synthetics vs. Sumi Indo Kabel | Indorama Synthetics vs. Goodyear Indonesia 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 Odds Of Bankruptcy module to get analysis of equity chance of financial distress in the next 2 years.
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