Correlation Between Sampoerna Agro and Austindo Nusantara
Can any of the company-specific risk be diversified away by investing in both Sampoerna Agro and Austindo Nusantara 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 Sampoerna Agro and Austindo Nusantara into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Sampoerna Agro Tbk and Austindo Nusantara Jaya, you can compare the effects of market volatilities on Sampoerna Agro and Austindo Nusantara 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 Sampoerna Agro with a short position of Austindo Nusantara. Check out your portfolio center. Please also check ongoing floating volatility patterns of Sampoerna Agro and Austindo Nusantara.
Diversification Opportunities for Sampoerna Agro and Austindo Nusantara
0.45 | Correlation Coefficient |
Very weak diversification
The 3 months correlation between Sampoerna and Austindo is 0.45. Overlapping area represents the amount of risk that can be diversified away by holding Sampoerna Agro Tbk and Austindo Nusantara Jaya in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Austindo Nusantara Jaya and Sampoerna Agro 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 Sampoerna Agro Tbk are associated (or correlated) with Austindo Nusantara. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Austindo Nusantara Jaya has no effect on the direction of Sampoerna Agro i.e., Sampoerna Agro and Austindo Nusantara go up and down completely randomly.
Pair Corralation between Sampoerna Agro and Austindo Nusantara
Assuming the 90 days trading horizon Sampoerna Agro Tbk is expected to generate 0.5 times more return on investment than Austindo Nusantara. However, Sampoerna Agro Tbk is 2.01 times less risky than Austindo Nusantara. It trades about 0.06 of its potential returns per unit of risk. Austindo Nusantara Jaya is currently generating about 0.01 per unit of risk. If you would invest 188,476 in Sampoerna Agro Tbk on September 1, 2024 and sell it today you would earn a total of 18,524 from holding Sampoerna Agro Tbk or generate 9.83% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Weak |
| Accuracy | 99.61% |
| Values | Daily Returns |
Sampoerna Agro Tbk vs. Austindo Nusantara Jaya
Performance |
| Timeline |
| Sampoerna Agro Tbk |
| Austindo Nusantara Jaya |
Sampoerna Agro and Austindo Nusantara Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Sampoerna Agro and Austindo Nusantara
The main advantage of trading using opposite Sampoerna Agro and Austindo Nusantara positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Sampoerna Agro position performs unexpectedly, Austindo Nusantara 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 Austindo Nusantara will offset losses from the drop in Austindo Nusantara's long position.| Sampoerna Agro vs. Bakrie Sumatera Plantations | Sampoerna Agro vs. Perusahaan Perkebunan London | Sampoerna Agro vs. Astra Agro Lestari | Sampoerna Agro vs. Tunas Baru Lampung |
| Austindo Nusantara vs. Dharma Satya Nusantara | Austindo Nusantara vs. Provident Agro Tbk | Austindo Nusantara vs. Salim Ivomas Pratama | Austindo Nusantara vs. Jaya Agra Wattie |
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 My Watchlist Analysis module to analyze my current watchlist and to refresh optimization strategy. Macroaxis watchlist is based on self-learning algorithm to remember stocks you like.
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