Correlation Between Ciputra Development and Summarecon Agung
Can any of the company-specific risk be diversified away by investing in both Ciputra Development 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 Ciputra Development and Summarecon Agung into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Ciputra Development Tbk and Summarecon Agung Tbk, you can compare the effects of market volatilities on Ciputra Development 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 Ciputra Development with a short position of Summarecon Agung. Check out your portfolio center. Please also check ongoing floating volatility patterns of Ciputra Development and Summarecon Agung.
Diversification Opportunities for Ciputra Development and Summarecon Agung
0.98 | Correlation Coefficient |
Almost no diversification
The 3 months correlation between Ciputra and Summarecon is 0.98. Overlapping area represents the amount of risk that can be diversified away by holding Ciputra Development Tbk 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 Ciputra Development 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 Ciputra Development Tbk 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 Ciputra Development i.e., Ciputra Development and Summarecon Agung go up and down completely randomly.
Pair Corralation between Ciputra Development and Summarecon Agung
Assuming the 90 days trading horizon Ciputra Development Tbk is expected to generate 1.34 times more return on investment than Summarecon Agung. However, Ciputra Development is 1.34 times more volatile than Summarecon Agung Tbk. It trades about 0.04 of its potential returns per unit of risk. Summarecon Agung Tbk is currently generating about -0.11 per unit of risk. If you would invest 96,500 in Ciputra Development Tbk on October 24, 2024 and sell it today you would earn a total of 1,500 from holding Ciputra Development Tbk or generate 1.55% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
Ciputra Development Tbk vs. Summarecon Agung Tbk
Performance |
| Timeline |
| Ciputra Development Tbk |
| Summarecon Agung Tbk |
Ciputra Development and Summarecon Agung Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Ciputra Development and Summarecon Agung
The main advantage of trading using opposite Ciputra Development and Summarecon Agung positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Ciputra Development 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.| Ciputra Development vs. Summarecon Agung Tbk | Ciputra Development vs. Bumi Serpong Damai | Ciputra Development vs. Adhi Karya Persero | Ciputra Development vs. Wijaya Karya Beton |
| 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 Stock Screener module to find equities using a custom stock filter or screen asymmetry in trading patterns, price, volume, or investment outlook..
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