Correlation Between Bumi Serpong and Lippo Karawaci
Can any of the company-specific risk be diversified away by investing in both Bumi Serpong and Lippo Karawaci 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 Lippo Karawaci 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 Lippo Karawaci Tbk, you can compare the effects of market volatilities on Bumi Serpong and Lippo Karawaci 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 Lippo Karawaci. Check out your portfolio center. Please also check ongoing floating volatility patterns of Bumi Serpong and Lippo Karawaci.
Diversification Opportunities for Bumi Serpong and Lippo Karawaci
-0.3 | Correlation Coefficient |
Very good diversification
The 3 months correlation between Bumi and Lippo is -0.3. Overlapping area represents the amount of risk that can be diversified away by holding Bumi Serpong Damai and Lippo Karawaci Tbk in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Lippo Karawaci Tbk 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 Lippo Karawaci. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Lippo Karawaci Tbk has no effect on the direction of Bumi Serpong i.e., Bumi Serpong and Lippo Karawaci go up and down completely randomly.
Pair Corralation between Bumi Serpong and Lippo Karawaci
Assuming the 90 days trading horizon Bumi Serpong Damai is expected to under-perform the Lippo Karawaci. But the stock apears to be less risky and, when comparing its historical volatility, Bumi Serpong Damai is 2.3 times less risky than Lippo Karawaci. The stock trades about -0.62 of its potential returns per unit of risk. The Lippo Karawaci Tbk is currently generating about -0.17 of returns per unit of risk over similar time horizon. If you would invest 12,800 in Lippo Karawaci Tbk on August 24, 2024 and sell it today you would lose (1,800) from holding Lippo Karawaci Tbk or give up 14.06% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Insignificant |
| Accuracy | 95.65% |
| Values | Daily Returns |
Bumi Serpong Damai vs. Lippo Karawaci Tbk
Performance |
| Timeline |
| Bumi Serpong Damai |
| Lippo Karawaci Tbk |
Bumi Serpong and Lippo Karawaci Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Bumi Serpong and Lippo Karawaci
The main advantage of trading using opposite Bumi Serpong and Lippo Karawaci positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Bumi Serpong position performs unexpectedly, Lippo Karawaci 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 Lippo Karawaci will offset losses from the drop in Lippo Karawaci'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 |
| Lippo Karawaci vs. Bumi Serpong Damai | Lippo Karawaci vs. Alam Sutera Realty | Lippo Karawaci vs. Summarecon Agung Tbk | Lippo Karawaci vs. Ciputra Development 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 Volatility Analysis module to get historical volatility and risk analysis based on latest market data.
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