Correlation Between Midi Utama and Sumber Alfaria
Can any of the company-specific risk be diversified away by investing in both Midi Utama and Sumber Alfaria 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 Midi Utama and Sumber Alfaria into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Midi Utama Indonesia and Sumber Alfaria Trijaya, you can compare the effects of market volatilities on Midi Utama and Sumber Alfaria 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 Midi Utama with a short position of Sumber Alfaria. Check out your portfolio center. Please also check ongoing floating volatility patterns of Midi Utama and Sumber Alfaria.
Diversification Opportunities for Midi Utama and Sumber Alfaria
0.87 | Correlation Coefficient |
Very poor diversification
The 3 months correlation between Midi and Sumber is 0.87. Overlapping area represents the amount of risk that can be diversified away by holding Midi Utama Indonesia and Sumber Alfaria Trijaya in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Sumber Alfaria Trijaya and Midi Utama 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 Midi Utama Indonesia are associated (or correlated) with Sumber Alfaria. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Sumber Alfaria Trijaya has no effect on the direction of Midi Utama i.e., Midi Utama and Sumber Alfaria go up and down completely randomly.
Pair Corralation between Midi Utama and Sumber Alfaria
Assuming the 90 days trading horizon Midi Utama Indonesia is expected to generate 0.68 times more return on investment than Sumber Alfaria. However, Midi Utama Indonesia is 1.47 times less risky than Sumber Alfaria. It trades about -0.35 of its potential returns per unit of risk. Sumber Alfaria Trijaya is currently generating about -0.32 per unit of risk. If you would invest 46,800 in Midi Utama Indonesia on September 1, 2024 and sell it today you would lose (5,200) from holding Midi Utama Indonesia or give up 11.11% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Strong |
| Accuracy | 95.45% |
| Values | Daily Returns |
Midi Utama Indonesia vs. Sumber Alfaria Trijaya
Performance |
| Timeline |
| Midi Utama Indonesia |
| Sumber Alfaria Trijaya |
Midi Utama and Sumber Alfaria Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Midi Utama and Sumber Alfaria
The main advantage of trading using opposite Midi Utama and Sumber Alfaria positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Midi Utama position performs unexpectedly, Sumber Alfaria 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 Sumber Alfaria will offset losses from the drop in Sumber Alfaria's long position.| Midi Utama vs. Sumber Alfaria Trijaya | Midi Utama vs. Hero Supermarket Tbk | Midi Utama vs. Supra Boga Lestari | Midi Utama vs. Multi Indocitra Tbk |
| Sumber Alfaria vs. Bank BRISyariah Tbk | Sumber Alfaria vs. Mitra Pinasthika Mustika | Sumber Alfaria vs. Jakarta Int Hotels | Sumber Alfaria 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 Bonds Directory module to find actively traded corporate debentures issued by US companies.
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