Correlation Between Bekasi Fajar and Sido Muncul
Can any of the company-specific risk be diversified away by investing in both Bekasi Fajar and Sido Muncul 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 Bekasi Fajar and Sido Muncul into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Bekasi Fajar Industrial and Sido Muncul PT, you can compare the effects of market volatilities on Bekasi Fajar and Sido Muncul 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 Bekasi Fajar with a short position of Sido Muncul. Check out your portfolio center. Please also check ongoing floating volatility patterns of Bekasi Fajar and Sido Muncul.
Diversification Opportunities for Bekasi Fajar and Sido Muncul
0.67 | Correlation Coefficient |
Poor diversification
The 3 months correlation between Bekasi and Sido is 0.67. Overlapping area represents the amount of risk that can be diversified away by holding Bekasi Fajar Industrial and Sido Muncul PT in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Sido Muncul PT and Bekasi Fajar 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 Bekasi Fajar Industrial are associated (or correlated) with Sido Muncul. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Sido Muncul PT has no effect on the direction of Bekasi Fajar i.e., Bekasi Fajar and Sido Muncul go up and down completely randomly.
Pair Corralation between Bekasi Fajar and Sido Muncul
Assuming the 90 days trading horizon Bekasi Fajar Industrial is expected to under-perform the Sido Muncul. In addition to that, Bekasi Fajar is 1.25 times more volatile than Sido Muncul PT. It trades about -0.37 of its total potential returns per unit of risk. Sido Muncul PT is currently generating about -0.16 per unit of volatility. If you would invest 60,641 in Sido Muncul PT on August 25, 2024 and sell it today you would lose (3,641) from holding Sido Muncul PT or give up 6.0% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Bekasi Fajar Industrial vs. Sido Muncul PT
Performance |
| Timeline |
| Bekasi Fajar Industrial |
| Sido Muncul PT |
Bekasi Fajar and Sido Muncul Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Bekasi Fajar and Sido Muncul
The main advantage of trading using opposite Bekasi Fajar and Sido Muncul positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Bekasi Fajar position performs unexpectedly, Sido Muncul 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 Sido Muncul will offset losses from the drop in Sido Muncul's long position.| Bekasi Fajar vs. Ciputra Development Tbk | Bekasi Fajar vs. Bumi Serpong Damai | Bekasi Fajar vs. Alam Sutera Realty | Bekasi Fajar vs. Lippo Karawaci Tbk |
| Sido Muncul vs. Indofood Cbp Sukses | Sido Muncul vs. Mayora Indah Tbk | Sido Muncul vs. Bank Pembangunan Timur | Sido Muncul vs. Pakuwon Jati 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 Portfolio Center module to all portfolio management and optimization tools to improve performance of your portfolios.
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