Correlation Between Sampoerna Agro and Fks Multi
Can any of the company-specific risk be diversified away by investing in both Sampoerna Agro and Fks Multi 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 Fks Multi 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 Fks Multi Agro, you can compare the effects of market volatilities on Sampoerna Agro and Fks Multi 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 Fks Multi. Check out your portfolio center. Please also check ongoing floating volatility patterns of Sampoerna Agro and Fks Multi.
Diversification Opportunities for Sampoerna Agro and Fks Multi
0.46 | Correlation Coefficient |
Very weak diversification
The 3 months correlation between Sampoerna and Fks is 0.46. Overlapping area represents the amount of risk that can be diversified away by holding Sampoerna Agro Tbk and Fks Multi Agro in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Fks Multi Agro 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 Fks Multi. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Fks Multi Agro has no effect on the direction of Sampoerna Agro i.e., Sampoerna Agro and Fks Multi go up and down completely randomly.
Pair Corralation between Sampoerna Agro and Fks Multi
Assuming the 90 days trading horizon Sampoerna Agro Tbk is expected to generate 5.69 times more return on investment than Fks Multi. However, Sampoerna Agro is 5.69 times more volatile than Fks Multi Agro. It trades about -0.07 of its potential returns per unit of risk. Fks Multi Agro is currently generating about -0.52 per unit of risk. If you would invest 210,000 in Sampoerna Agro Tbk on September 2, 2024 and sell it today you would lose (3,000) from holding Sampoerna Agro Tbk or give up 1.43% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Weak |
| Accuracy | 95.24% |
| Values | Daily Returns |
Sampoerna Agro Tbk vs. Fks Multi Agro
Performance |
| Timeline |
| Sampoerna Agro Tbk |
| Fks Multi Agro |
Sampoerna Agro and Fks Multi Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Sampoerna Agro and Fks Multi
The main advantage of trading using opposite Sampoerna Agro and Fks Multi positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Sampoerna Agro position performs unexpectedly, Fks Multi 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 Fks Multi will offset losses from the drop in Fks Multi's long position.| Sampoerna Agro vs. Bank BRISyariah Tbk | Sampoerna Agro vs. Mitra Pinasthika Mustika | Sampoerna Agro vs. Jakarta Int Hotels | Sampoerna Agro vs. Indosterling Technomedia Tbk |
| Fks Multi vs. Bank BRISyariah Tbk | Fks Multi vs. Mitra Pinasthika Mustika | Fks Multi vs. Jakarta Int Hotels | Fks Multi vs. Indosterling Technomedia 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 Idea Analyzer module to analyze all characteristics, volatility and risk-adjusted return of Macroaxis ideas.
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