Correlation Between Sentul City and Bumi Serpong
Can any of the company-specific risk be diversified away by investing in both Sentul City and Bumi Serpong 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 Sentul City and Bumi Serpong into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Sentul City Tbk and Bumi Serpong Damai, you can compare the effects of market volatilities on Sentul City and Bumi Serpong 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 Sentul City with a short position of Bumi Serpong. Check out your portfolio center. Please also check ongoing floating volatility patterns of Sentul City and Bumi Serpong.
Diversification Opportunities for Sentul City and Bumi Serpong
0.6 | Correlation Coefficient |
Poor diversification
The 3 months correlation between Sentul and Bumi is 0.6. Overlapping area represents the amount of risk that can be diversified away by holding Sentul City Tbk and Bumi Serpong Damai in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Bumi Serpong Damai and Sentul City 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 Sentul City Tbk are associated (or correlated) with Bumi Serpong. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Bumi Serpong Damai has no effect on the direction of Sentul City i.e., Sentul City and Bumi Serpong go up and down completely randomly.
Pair Corralation between Sentul City and Bumi Serpong
Assuming the 90 days trading horizon Sentul City Tbk is expected to under-perform the Bumi Serpong. In addition to that, Sentul City is 1.29 times more volatile than Bumi Serpong Damai. It trades about -0.01 of its total potential returns per unit of risk. Bumi Serpong Damai is currently generating about 0.01 per unit of volatility. If you would invest 96,500 in Bumi Serpong Damai on August 27, 2024 and sell it today you would earn a total of 3,500 from holding Bumi Serpong Damai or generate 3.63% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 99.77% |
| Values | Daily Returns |
Sentul City Tbk vs. Bumi Serpong Damai
Performance |
| Timeline |
| Sentul City Tbk |
| Bumi Serpong Damai |
Sentul City and Bumi Serpong Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Sentul City and Bumi Serpong
The main advantage of trading using opposite Sentul City and Bumi Serpong positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Sentul City position performs unexpectedly, Bumi Serpong 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 Bumi Serpong will offset losses from the drop in Bumi Serpong's long position.| Sentul City vs. Alam Sutera Realty | Sentul City vs. Kawasan Industri Jababeka | Sentul City vs. Lippo Karawaci Tbk | Sentul City vs. Ciputra Development Tbk |
| Bumi Serpong vs. Alam Sutera Realty | Bumi Serpong vs. Ciputra Development Tbk | Bumi Serpong vs. Summarecon Agung Tbk | Bumi Serpong 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 AI Portfolio Architect module to use AI to generate optimal portfolios and find profitable investment opportunities.
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