Correlation Between Pembangunan Perumahan and Samudera Indonesia
Can any of the company-specific risk be diversified away by investing in both Pembangunan Perumahan and Samudera Indonesia 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 Pembangunan Perumahan and Samudera Indonesia into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Pembangunan Perumahan PT and Samudera Indonesia Tbk, you can compare the effects of market volatilities on Pembangunan Perumahan and Samudera Indonesia 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 Pembangunan Perumahan with a short position of Samudera Indonesia. Check out your portfolio center. Please also check ongoing floating volatility patterns of Pembangunan Perumahan and Samudera Indonesia.
Diversification Opportunities for Pembangunan Perumahan and Samudera Indonesia
0.86 | Correlation Coefficient |
Very poor diversification
The 3 months correlation between Pembangunan and Samudera is 0.86. Overlapping area represents the amount of risk that can be diversified away by holding Pembangunan Perumahan PT and Samudera Indonesia Tbk in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Samudera Indonesia Tbk and Pembangunan Perumahan 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 Pembangunan Perumahan PT are associated (or correlated) with Samudera Indonesia. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Samudera Indonesia Tbk has no effect on the direction of Pembangunan Perumahan i.e., Pembangunan Perumahan and Samudera Indonesia go up and down completely randomly.
Pair Corralation between Pembangunan Perumahan and Samudera Indonesia
Assuming the 90 days trading horizon Pembangunan Perumahan PT is expected to generate 1.09 times more return on investment than Samudera Indonesia. However, Pembangunan Perumahan is 1.09 times more volatile than Samudera Indonesia Tbk. It trades about -0.22 of its potential returns per unit of risk. Samudera Indonesia Tbk is currently generating about -0.39 per unit of risk. If you would invest 44,400 in Pembangunan Perumahan PT on August 28, 2024 and sell it today you would lose (4,000) from holding Pembangunan Perumahan PT or give up 9.01% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
Pembangunan Perumahan PT vs. Samudera Indonesia Tbk
Performance |
| Timeline |
| Pembangunan Perumahan |
| Samudera Indonesia Tbk |
Pembangunan Perumahan and Samudera Indonesia Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Pembangunan Perumahan and Samudera Indonesia
The main advantage of trading using opposite Pembangunan Perumahan and Samudera Indonesia positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Pembangunan Perumahan position performs unexpectedly, Samudera Indonesia 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 Samudera Indonesia will offset losses from the drop in Samudera Indonesia's long position.| Pembangunan Perumahan vs. Wijaya Karya Beton | Pembangunan Perumahan vs. Waskita Karya Persero | Pembangunan Perumahan vs. Adhi Karya Persero | Pembangunan Perumahan vs. Bumi Serpong Damai |
| Samudera Indonesia vs. PT Temas Tbk | Samudera Indonesia vs. Petrosea Tbk | Samudera Indonesia vs. Rig Tenders Tbk | Samudera Indonesia vs. Rukun Raharja 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 Competition Analyzer module to analyze and compare many basic indicators for a group of related or unrelated entities.
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