Correlation Between Dow Jones and PT Surya
Can any of the company-specific risk be diversified away by investing in both Dow Jones and PT Surya 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 Dow Jones and PT Surya into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Dow Jones Industrial and PT Surya Pertiwi, you can compare the effects of market volatilities on Dow Jones and PT Surya 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 Dow Jones with a short position of PT Surya. Check out your portfolio center. Please also check ongoing floating volatility patterns of Dow Jones and PT Surya.
Diversification Opportunities for Dow Jones and PT Surya
Poor diversification
The 3 months correlation between Dow and SPTO is 0.77. Overlapping area represents the amount of risk that can be diversified away by holding Dow Jones Industrial and PT Surya Pertiwi in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on PT Surya Pertiwi and Dow Jones 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 Dow Jones Industrial are associated (or correlated) with PT Surya. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of PT Surya Pertiwi has no effect on the direction of Dow Jones i.e., Dow Jones and PT Surya go up and down completely randomly.
Pair Corralation between Dow Jones and PT Surya
Assuming the 90 days trading horizon Dow Jones is expected to generate 3.31 times less return on investment than PT Surya. But when comparing it to its historical volatility, Dow Jones Industrial is 1.85 times less risky than PT Surya. It trades about 0.15 of its potential returns per unit of risk. PT Surya Pertiwi is currently generating about 0.27 of returns per unit of risk over similar time horizon. If you would invest 59,500 in PT Surya Pertiwi on August 24, 2024 and sell it today you would earn a total of 6,500 from holding PT Surya Pertiwi or generate 10.92% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Dow Jones Industrial vs. PT Surya Pertiwi
Performance |
| Timeline |
Dow Jones and PT Surya Volatility Contrast
Predicted Return Density |
| Returns |
Dow Jones Industrial
Pair trading matchups for Dow Jones
PT Surya Pertiwi
Pair trading matchups for PT Surya
Pair Trading with Dow Jones and PT Surya
The main advantage of trading using opposite Dow Jones and PT Surya positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Dow Jones position performs unexpectedly, PT Surya 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 PT Surya will offset losses from the drop in PT Surya's long position.| Dow Jones vs. Sphere Entertainment Co | Dow Jones vs. Perseus Mining Limited | Dow Jones vs. Titan Machinery | Dow Jones vs. Simon Property Group |
| PT Surya vs. Samudera Indonesia Tbk | PT Surya vs. Steady Safe TBK | PT Surya vs. Rukun Raharja Tbk | PT Surya vs. PT Temas 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 Performance Analysis module to check effects of mean-variance optimization against your current asset allocation.
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