Correlation Between Perusahaan Perkebunan and Sinar Mas
Can any of the company-specific risk be diversified away by investing in both Perusahaan Perkebunan and Sinar Mas 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 Perusahaan Perkebunan and Sinar Mas into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Perusahaan Perkebunan London and Sinar Mas Agro, you can compare the effects of market volatilities on Perusahaan Perkebunan and Sinar Mas 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 Perusahaan Perkebunan with a short position of Sinar Mas. Check out your portfolio center. Please also check ongoing floating volatility patterns of Perusahaan Perkebunan and Sinar Mas.
Diversification Opportunities for Perusahaan Perkebunan and Sinar Mas
0.61 | Correlation Coefficient |
Poor diversification
The 3 months correlation between Perusahaan and Sinar is 0.61. Overlapping area represents the amount of risk that can be diversified away by holding Perusahaan Perkebunan London and Sinar Mas Agro in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Sinar Mas Agro and Perusahaan Perkebunan 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 Perusahaan Perkebunan London are associated (or correlated) with Sinar Mas. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Sinar Mas Agro has no effect on the direction of Perusahaan Perkebunan i.e., Perusahaan Perkebunan and Sinar Mas go up and down completely randomly.
Pair Corralation between Perusahaan Perkebunan and Sinar Mas
Assuming the 90 days trading horizon Perusahaan Perkebunan London is expected to generate 1.3 times more return on investment than Sinar Mas. However, Perusahaan Perkebunan is 1.3 times more volatile than Sinar Mas Agro. It trades about 0.06 of its potential returns per unit of risk. Sinar Mas Agro is currently generating about 0.03 per unit of risk. If you would invest 85,345 in Perusahaan Perkebunan London on September 2, 2024 and sell it today you would earn a total of 24,155 from holding Perusahaan Perkebunan London or generate 28.3% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Perusahaan Perkebunan London vs. Sinar Mas Agro
Performance |
| Timeline |
| Perusahaan Perkebunan |
| Sinar Mas Agro |
Perusahaan Perkebunan and Sinar Mas Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Perusahaan Perkebunan and Sinar Mas
The main advantage of trading using opposite Perusahaan Perkebunan and Sinar Mas positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Perusahaan Perkebunan position performs unexpectedly, Sinar Mas 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 Sinar Mas will offset losses from the drop in Sinar Mas' long position.| Perusahaan Perkebunan vs. Bank BRISyariah Tbk | Perusahaan Perkebunan vs. Mitra Pinasthika Mustika | Perusahaan Perkebunan vs. Jakarta Int Hotels | Perusahaan Perkebunan vs. Indosterling Technomedia Tbk |
| Sinar Mas vs. Bank BRISyariah Tbk | Sinar Mas vs. Mitra Pinasthika Mustika | Sinar Mas vs. Jakarta Int Hotels | Sinar Mas vs. Indosterling Technomedia 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 Volatility Analysis module to get historical volatility and risk analysis based on latest market data.
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