Correlation Between Matahari Department and PT Surya
Can any of the company-specific risk be diversified away by investing in both Matahari Department 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 Matahari Department and PT Surya into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Matahari Department Store and PT Surya Pertiwi, you can compare the effects of market volatilities on Matahari Department 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 Matahari Department with a short position of PT Surya. Check out your portfolio center. Please also check ongoing floating volatility patterns of Matahari Department and PT Surya.
Diversification Opportunities for Matahari Department and PT Surya
-0.88 | Correlation Coefficient |
Pay attention - limited upside
The 3 months correlation between Matahari and SPTO is -0.88. Overlapping area represents the amount of risk that can be diversified away by holding Matahari Department Store 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 Matahari Department 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 Matahari Department Store 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 Matahari Department i.e., Matahari Department and PT Surya go up and down completely randomly.
Pair Corralation between Matahari Department and PT Surya
Assuming the 90 days trading horizon Matahari Department Store is expected to under-perform the PT Surya. In addition to that, Matahari Department is 1.06 times more volatile than PT Surya Pertiwi. It trades about -0.23 of its total potential returns per unit of risk. PT Surya Pertiwi is currently generating about 0.29 per unit of volatility. If you would invest 59,186 in PT Surya Pertiwi on September 2, 2024 and sell it today you would earn a total of 4,814 from holding PT Surya Pertiwi or generate 8.13% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Matahari Department Store vs. PT Surya Pertiwi
Performance |
| Timeline |
| Matahari Department Store |
| PT Surya Pertiwi |
Matahari Department and PT Surya Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Matahari Department and PT Surya
The main advantage of trading using opposite Matahari Department and PT Surya positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Matahari Department 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.| Matahari Department vs. Japfa Comfeed Indonesia | Matahari Department vs. Charoen Pokphand Indonesia | Matahari Department vs. Erajaya Swasembada Tbk | Matahari Department vs. Indofood Cbp Sukses |
| PT Surya vs. Matahari Department Store | PT Surya vs. Multi Medika Internasional | PT Surya vs. Visi Media Asia | PT Surya vs. Bayan Resources 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 Positions Ratings module to determine portfolio positions ratings based on digital equity recommendations. Macroaxis instant position ratings are based on combination of fundamental analysis and risk-adjusted market performance.
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