Correlation Between Bumi Serpong and Summarecon Agung
Can any of the company-specific risk be diversified away by investing in both Bumi Serpong and Summarecon Agung 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 Summarecon Agung 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 Summarecon Agung Tbk, you can compare the effects of market volatilities on Bumi Serpong and Summarecon Agung 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 Summarecon Agung. Check out your portfolio center. Please also check ongoing floating volatility patterns of Bumi Serpong and Summarecon Agung.
Diversification Opportunities for Bumi Serpong and Summarecon Agung
0.65 | Correlation Coefficient |
Poor diversification
The 3 months correlation between Bumi and Summarecon is 0.65. Overlapping area represents the amount of risk that can be diversified away by holding Bumi Serpong Damai and Summarecon Agung Tbk in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Summarecon Agung 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 Summarecon Agung. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Summarecon Agung Tbk has no effect on the direction of Bumi Serpong i.e., Bumi Serpong and Summarecon Agung go up and down completely randomly.
Pair Corralation between Bumi Serpong and Summarecon Agung
Assuming the 90 days trading horizon Bumi Serpong Damai is expected to under-perform the Summarecon Agung. But the stock apears to be less risky and, when comparing its historical volatility, Bumi Serpong Damai is 1.25 times less risky than Summarecon Agung. The stock trades about -0.41 of its potential returns per unit of risk. The Summarecon Agung Tbk is currently generating about -0.22 of returns per unit of risk over similar time horizon. If you would invest 64,500 in Summarecon Agung Tbk on August 28, 2024 and sell it today you would lose (7,000) from holding Summarecon Agung Tbk or give up 10.85% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Bumi Serpong Damai vs. Summarecon Agung Tbk
Performance |
| Timeline |
| Bumi Serpong Damai |
| Summarecon Agung Tbk |
Bumi Serpong and Summarecon Agung Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Bumi Serpong and Summarecon Agung
The main advantage of trading using opposite Bumi Serpong and Summarecon Agung positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Bumi Serpong position performs unexpectedly, Summarecon Agung 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 Summarecon Agung will offset losses from the drop in Summarecon Agung'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 |
| Summarecon Agung vs. Ciputra Development Tbk | Summarecon Agung vs. Bumi Serpong Damai | Summarecon Agung vs. Alam Sutera Realty | Summarecon Agung 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 Economic Indicators module to top statistical indicators that provide insights into how an economy is performing.
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