Correlation Between Lippo Karawaci and Sentul City
Can any of the company-specific risk be diversified away by investing in both Lippo Karawaci and Sentul City 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 Lippo Karawaci and Sentul City into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Lippo Karawaci Tbk and Sentul City Tbk, you can compare the effects of market volatilities on Lippo Karawaci and Sentul City 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 Lippo Karawaci with a short position of Sentul City. Check out your portfolio center. Please also check ongoing floating volatility patterns of Lippo Karawaci and Sentul City.
Diversification Opportunities for Lippo Karawaci and Sentul City
0.22 | Correlation Coefficient |
Modest diversification
The 3 months correlation between Lippo and Sentul is 0.22. Overlapping area represents the amount of risk that can be diversified away by holding Lippo Karawaci Tbk and Sentul City Tbk in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Sentul City Tbk and Lippo Karawaci 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 Lippo Karawaci Tbk are associated (or correlated) with Sentul City. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Sentul City Tbk has no effect on the direction of Lippo Karawaci i.e., Lippo Karawaci and Sentul City go up and down completely randomly.
Pair Corralation between Lippo Karawaci and Sentul City
Assuming the 90 days trading horizon Lippo Karawaci Tbk is expected to generate 1.47 times more return on investment than Sentul City. However, Lippo Karawaci is 1.47 times more volatile than Sentul City Tbk. It trades about -0.15 of its potential returns per unit of risk. Sentul City Tbk is currently generating about -0.41 per unit of risk. If you would invest 12,500 in Lippo Karawaci Tbk on August 27, 2024 and sell it today you would lose (1,500) from holding Lippo Karawaci Tbk or give up 12.0% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
Lippo Karawaci Tbk vs. Sentul City Tbk
Performance |
| Timeline |
| Lippo Karawaci Tbk |
| Sentul City Tbk |
Lippo Karawaci and Sentul City Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Lippo Karawaci and Sentul City
The main advantage of trading using opposite Lippo Karawaci and Sentul City positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Lippo Karawaci position performs unexpectedly, Sentul City 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 Sentul City will offset losses from the drop in Sentul City's long position.| Lippo Karawaci vs. Bumi Serpong Damai | Lippo Karawaci vs. Alam Sutera Realty | Lippo Karawaci vs. Summarecon Agung Tbk | Lippo Karawaci vs. Ciputra Development Tbk |
| Sentul City vs. Alam Sutera Realty | Sentul City vs. Kawasan Industri Jababeka | Sentul City vs. Lippo Karawaci Tbk | Sentul City 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 Idea Analyzer module to analyze all characteristics, volatility and risk-adjusted return of Macroaxis ideas.
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