Correlation Between Surya Citra and Matahari Department
Can any of the company-specific risk be diversified away by investing in both Surya Citra and Matahari Department 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 Surya Citra and Matahari Department into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Surya Citra Media and Matahari Department Store, you can compare the effects of market volatilities on Surya Citra and Matahari Department 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 Surya Citra with a short position of Matahari Department. Check out your portfolio center. Please also check ongoing floating volatility patterns of Surya Citra and Matahari Department.
Diversification Opportunities for Surya Citra and Matahari Department
-0.07 | Correlation Coefficient |
Good diversification
The 3 months correlation between Surya and Matahari is -0.07. Overlapping area represents the amount of risk that can be diversified away by holding Surya Citra Media and Matahari Department Store in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Matahari Department Store and Surya Citra 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 Surya Citra Media are associated (or correlated) with Matahari Department. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Matahari Department Store has no effect on the direction of Surya Citra i.e., Surya Citra and Matahari Department go up and down completely randomly.
Pair Corralation between Surya Citra and Matahari Department
Assuming the 90 days trading horizon Surya Citra Media is expected to generate 0.97 times more return on investment than Matahari Department. However, Surya Citra Media is 1.03 times less risky than Matahari Department. It trades about -0.02 of its potential returns per unit of risk. Matahari Department Store is currently generating about -0.07 per unit of risk. If you would invest 19,065 in Surya Citra Media on August 27, 2024 and sell it today you would lose (6,765) from holding Surya Citra Media or give up 35.48% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Insignificant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Surya Citra Media vs. Matahari Department Store
Performance |
| Timeline |
| Surya Citra Media |
| Matahari Department Store |
Surya Citra and Matahari Department Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Surya Citra and Matahari Department
The main advantage of trading using opposite Surya Citra and Matahari Department positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Surya Citra position performs unexpectedly, Matahari Department 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 Matahari Department will offset losses from the drop in Matahari Department's long position.| Surya Citra vs. Mnc Land Tbk | Surya Citra vs. MNC Vision Networks | Surya Citra vs. Medikaloka Hermina PT |
| Matahari Department vs. Surya Citra Media | Matahari Department vs. Akr Corporindo Tbk | Matahari Department vs. Media Nusantara Citra | Matahari Department vs. Pembangunan Perumahan PT |
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 Positions Ratings module to 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.
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