Correlation Between Surya Citra and Sawit Sumbermas
Can any of the company-specific risk be diversified away by investing in both Surya Citra and Sawit Sumbermas 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 Sawit Sumbermas 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 Sawit Sumbermas Sarana, you can compare the effects of market volatilities on Surya Citra and Sawit Sumbermas 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 Sawit Sumbermas. Check out your portfolio center. Please also check ongoing floating volatility patterns of Surya Citra and Sawit Sumbermas.
Diversification Opportunities for Surya Citra and Sawit Sumbermas
0.21 | Correlation Coefficient |
Modest diversification
The 3 months correlation between Surya and Sawit is 0.21. Overlapping area represents the amount of risk that can be diversified away by holding Surya Citra Media and Sawit Sumbermas Sarana in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Sawit Sumbermas Sarana 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 Sawit Sumbermas. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Sawit Sumbermas Sarana has no effect on the direction of Surya Citra i.e., Surya Citra and Sawit Sumbermas go up and down completely randomly.
Pair Corralation between Surya Citra and Sawit Sumbermas
Assuming the 90 days trading horizon Surya Citra is expected to generate 1.53 times less return on investment than Sawit Sumbermas. But when comparing it to its historical volatility, Surya Citra Media is 1.65 times less risky than Sawit Sumbermas. It trades about 0.22 of its potential returns per unit of risk. Sawit Sumbermas Sarana is currently generating about 0.2 of returns per unit of risk over similar time horizon. If you would invest 106,000 in Sawit Sumbermas Sarana on October 26, 2024 and sell it today you would earn a total of 22,500 from holding Sawit Sumbermas Sarana or generate 21.23% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
Surya Citra Media vs. Sawit Sumbermas Sarana
Performance |
| Timeline |
| Surya Citra Media |
| Sawit Sumbermas Sarana |
Surya Citra and Sawit Sumbermas Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Surya Citra and Sawit Sumbermas
The main advantage of trading using opposite Surya Citra and Sawit Sumbermas positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Surya Citra position performs unexpectedly, Sawit Sumbermas 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 Sawit Sumbermas will offset losses from the drop in Sawit Sumbermas' long position.| Surya Citra vs. Media Nusantara Citra | Surya Citra vs. Matahari Department Store | Surya Citra vs. Akr Corporindo Tbk | Surya Citra vs. XL Axiata Tbk |
| Sawit Sumbermas vs. Surya Citra Media | Sawit Sumbermas vs. Matahari Department Store | Sawit Sumbermas vs. Salim Ivomas Pratama | Sawit Sumbermas vs. Akr Corporindo 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 Efficient Frontier module to plot and analyze your portfolio and positions against risk-return landscape of the market..
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