Correlation Between Matahari Department and Sawit Sumbermas
Can any of the company-specific risk be diversified away by investing in both Matahari Department and Sawit Sumbermas 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 Sawit Sumbermas 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 Sawit Sumbermas Sarana, you can compare the effects of market volatilities on Matahari Department and Sawit Sumbermas 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 Sawit Sumbermas. Check out your portfolio center. Please also check ongoing floating volatility patterns of Matahari Department and Sawit Sumbermas.
Diversification Opportunities for Matahari Department and Sawit Sumbermas
0.45 | Correlation Coefficient |
Very weak diversification
The 3 months correlation between Matahari and Sawit is 0.45. Overlapping area represents the amount of risk that can be diversified away by holding Matahari Department Store and Sawit Sumbermas Sarana in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Sawit Sumbermas Sarana 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 Sawit Sumbermas. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Sawit Sumbermas Sarana has no effect on the direction of Matahari Department i.e., Matahari Department and Sawit Sumbermas go up and down completely randomly.
Pair Corralation between Matahari Department and Sawit Sumbermas
Assuming the 90 days trading horizon Matahari Department is expected to generate 2.66 times less return on investment than Sawit Sumbermas. But when comparing it to its historical volatility, Matahari Department Store is 6.29 times less risky than Sawit Sumbermas. It trades about 0.47 of its potential returns per unit of risk. Sawit Sumbermas Sarana is currently generating about 0.2 of returns per unit of risk over similar time horizon. If you would invest 106,000 in Sawit Sumbermas Sarana on October 26, 2024 and sell it today you would earn a total of 22,500 from holding Sawit Sumbermas Sarana or generate 21.23% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
Matahari Department Store vs. Sawit Sumbermas Sarana
Performance |
| Timeline |
| Matahari Department Store |
| Sawit Sumbermas Sarana |
Matahari Department and Sawit Sumbermas Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Matahari Department and Sawit Sumbermas
The main advantage of trading using opposite Matahari Department and Sawit Sumbermas positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Matahari Department position performs unexpectedly, Sawit Sumbermas 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 Sawit Sumbermas will offset losses from the drop in Sawit Sumbermas' long position.| Matahari Department vs. Surya Citra Media | Matahari Department vs. Astra Otoparts Tbk | Matahari Department vs. Ultra Jaya Milk | Matahari Department vs. Ramayana Lestari Sentosa |
| Sawit Sumbermas vs. Surya Citra Media | Sawit Sumbermas vs. Matahari Department Store | Sawit Sumbermas vs. Salim Ivomas Pratama | Sawit Sumbermas vs. Akr Corporindo 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 Balance Of Power module to check stock momentum by analyzing Balance Of Power indicator and other technical ratios.
Other Complementary Tools
| Portfolio Volatility Check portfolio volatility and analyze historical return density to properly model market risk | |
| ETFs Find actively traded Exchange Traded Funds (ETF) from around the world | |
| Positions Ratings 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 | |
| USA ETFs Find actively traded Exchange Traded Funds (ETF) in USA | |
| Content Syndication Quickly integrate customizable finance content to your own investment portal |