Correlation Between Bumi Serpong and Bekasi Fajar
Can any of the company-specific risk be diversified away by investing in both Bumi Serpong and Bekasi Fajar 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 Bumi Serpong and Bekasi Fajar into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Bumi Serpong Damai and Bekasi Fajar Industrial, you can compare the effects of market volatilities on Bumi Serpong and Bekasi Fajar 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 Bumi Serpong with a short position of Bekasi Fajar. Check out your portfolio center. Please also check ongoing floating volatility patterns of Bumi Serpong and Bekasi Fajar.
Diversification Opportunities for Bumi Serpong and Bekasi Fajar
0.9 | Correlation Coefficient |
Almost no diversification
The 3 months correlation between Bumi and Bekasi is 0.9. Overlapping area represents the amount of risk that can be diversified away by holding Bumi Serpong Damai and Bekasi Fajar Industrial in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Bekasi Fajar Industrial and Bumi Serpong 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 Bumi Serpong Damai are associated (or correlated) with Bekasi Fajar. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Bekasi Fajar Industrial has no effect on the direction of Bumi Serpong i.e., Bumi Serpong and Bekasi Fajar go up and down completely randomly.
Pair Corralation between Bumi Serpong and Bekasi Fajar
Assuming the 90 days trading horizon Bumi Serpong Damai is expected to under-perform the Bekasi Fajar. But the stock apears to be less risky and, when comparing its historical volatility, Bumi Serpong Damai is 1.27 times less risky than Bekasi Fajar. The stock trades about -0.61 of its potential returns per unit of risk. The Bekasi Fajar Industrial is currently generating about -0.36 of returns per unit of risk over similar time horizon. If you would invest 12,500 in Bekasi Fajar Industrial on August 24, 2024 and sell it today you would lose (2,000) from holding Bekasi Fajar Industrial or give up 16.0% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
Bumi Serpong Damai vs. Bekasi Fajar Industrial
Performance |
| Timeline |
| Bumi Serpong Damai |
| Bekasi Fajar Industrial |
Bumi Serpong and Bekasi Fajar Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Bumi Serpong and Bekasi Fajar
The main advantage of trading using opposite Bumi Serpong and Bekasi Fajar positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Bumi Serpong position performs unexpectedly, Bekasi Fajar 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 Bekasi Fajar will offset losses from the drop in Bekasi Fajar's long position.| Bumi Serpong vs. Alam Sutera Realty | Bumi Serpong vs. Ciputra Development Tbk | Bumi Serpong vs. Summarecon Agung Tbk | Bumi Serpong vs. Pakuwon Jati Tbk |
| Bekasi Fajar vs. Ciputra Development Tbk | Bekasi Fajar vs. Bumi Serpong Damai | Bekasi Fajar vs. Alam Sutera Realty | Bekasi Fajar vs. Lippo Karawaci 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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