Correlation Between Panca Budi and Saraswanti Anugerah

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Can any of the company-specific risk be diversified away by investing in both Panca Budi and Saraswanti Anugerah 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 Panca Budi and Saraswanti Anugerah into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Panca Budi Idaman and Saraswanti Anugerah Makmur, you can compare the effects of market volatilities on Panca Budi and Saraswanti Anugerah 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 Panca Budi with a short position of Saraswanti Anugerah. Check out your portfolio center. Please also check ongoing floating volatility patterns of Panca Budi and Saraswanti Anugerah.

Diversification Opportunities for Panca Budi and Saraswanti Anugerah

-0.25
  Correlation Coefficient

Very good diversification

The 3 months correlation between Panca and Saraswanti is -0.25. Overlapping area represents the amount of risk that can be diversified away by holding Panca Budi Idaman and Saraswanti Anugerah Makmur in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Saraswanti Anugerah and Panca Budi 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 Panca Budi Idaman are associated (or correlated) with Saraswanti Anugerah. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Saraswanti Anugerah has no effect on the direction of Panca Budi i.e., Panca Budi and Saraswanti Anugerah go up and down completely randomly.

Pair Corralation between Panca Budi and Saraswanti Anugerah

Assuming the 90 days trading horizon Panca Budi is expected to generate 1.75 times less return on investment than Saraswanti Anugerah. But when comparing it to its historical volatility, Panca Budi Idaman is 2.0 times less risky than Saraswanti Anugerah. It trades about 0.08 of its potential returns per unit of risk. Saraswanti Anugerah Makmur is currently generating about 0.07 of returns per unit of risk over similar time horizon. If you would invest  81,500  in Saraswanti Anugerah Makmur on November 3, 2024 and sell it today you would earn a total of  20,000  from holding Saraswanti Anugerah Makmur or generate 24.54% return on investment over 90 days.
Time Period3 Months [change]
DirectionMoves Against 
StrengthInsignificant
Accuracy100.0%
ValuesDaily Returns

Panca Budi Idaman  vs.  Saraswanti Anugerah Makmur

 Performance 
       Timeline  
Panca Budi Idaman 

Risk-Adjusted Performance

0 of 100

 
Weak
 
Strong
Very Weak
Over the last 90 days Panca Budi Idaman has generated negative risk-adjusted returns adding no value to investors with long positions. Despite quite persistent forward-looking signals, Panca Budi is not utilizing all of its potentials. The latest stock price mess, may contribute to short-term losses for the institutional investors.
Saraswanti Anugerah 

Risk-Adjusted Performance

9 of 100

 
Weak
 
Strong
OK
Compared to the overall equity markets, risk-adjusted returns on investments in Saraswanti Anugerah Makmur are ranked lower than 9 (%) of all global equities and portfolios over the last 90 days. Despite quite conflicting forward-looking signals, Saraswanti Anugerah disclosed solid returns over the last few months and may actually be approaching a breakup point.

Panca Budi and Saraswanti Anugerah Volatility Contrast

   Predicted Return Density   
       Returns  

Pair Trading with Panca Budi and Saraswanti Anugerah

The main advantage of trading using opposite Panca Budi and Saraswanti Anugerah positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Panca Budi position performs unexpectedly, Saraswanti Anugerah 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 Saraswanti Anugerah will offset losses from the drop in Saraswanti Anugerah's long position.
The idea behind Panca Budi Idaman and Saraswanti Anugerah Makmur pairs trading is to make the combined position market-neutral, meaning the overall market's direction will not affect its win or loss (or potential downside or upside). This can be achieved by designing a pairs trade with two highly correlated stocks or equities that operate in a similar space or sector, making it possible to obtain profits through simple and relatively low-risk investment.
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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 Equity Valuation module to check real value of public entities based on technical and fundamental data.

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