Correlation Between Sampoerna Agro and Hexindo Adiperkasa
Can any of the company-specific risk be diversified away by investing in both Sampoerna Agro and Hexindo Adiperkasa 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 Hexindo Adiperkasa 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 Hexindo Adiperkasa Tbk, you can compare the effects of market volatilities on Sampoerna Agro and Hexindo Adiperkasa 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 Hexindo Adiperkasa. Check out your portfolio center. Please also check ongoing floating volatility patterns of Sampoerna Agro and Hexindo Adiperkasa.
Diversification Opportunities for Sampoerna Agro and Hexindo Adiperkasa
0.07 | Correlation Coefficient |
Significant diversification
The 3 months correlation between Sampoerna and Hexindo is 0.07. Overlapping area represents the amount of risk that can be diversified away by holding Sampoerna Agro Tbk and Hexindo Adiperkasa Tbk in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Hexindo Adiperkasa Tbk 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 Hexindo Adiperkasa. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Hexindo Adiperkasa Tbk has no effect on the direction of Sampoerna Agro i.e., Sampoerna Agro and Hexindo Adiperkasa go up and down completely randomly.
Pair Corralation between Sampoerna Agro and Hexindo Adiperkasa
Assuming the 90 days trading horizon Sampoerna Agro Tbk is expected to generate 0.77 times more return on investment than Hexindo Adiperkasa. However, Sampoerna Agro Tbk is 1.3 times less risky than Hexindo Adiperkasa. It trades about 0.13 of its potential returns per unit of risk. Hexindo Adiperkasa Tbk is currently generating about 0.05 per unit of risk. If you would invest 211,000 in Sampoerna Agro Tbk on October 26, 2024 and sell it today you would earn a total of 3,000 from holding Sampoerna Agro Tbk or generate 1.42% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Insignificant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Sampoerna Agro Tbk vs. Hexindo Adiperkasa Tbk
Performance |
| Timeline |
| Sampoerna Agro Tbk |
| Hexindo Adiperkasa Tbk |
Sampoerna Agro and Hexindo Adiperkasa Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Sampoerna Agro and Hexindo Adiperkasa
The main advantage of trading using opposite Sampoerna Agro and Hexindo Adiperkasa positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Sampoerna Agro position performs unexpectedly, Hexindo Adiperkasa 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 Hexindo Adiperkasa will offset losses from the drop in Hexindo Adiperkasa's long position.| Sampoerna Agro vs. Alam Sutera Realty | Sampoerna Agro vs. Sentul City Tbk | Sampoerna Agro vs. Gajah Tunggal Tbk | Sampoerna Agro vs. Akr Corporindo Tbk |
| Hexindo Adiperkasa vs. Bisi International Tbk | Hexindo Adiperkasa vs. Sampoerna Agro Tbk | Hexindo Adiperkasa vs. Akr Corporindo Tbk | Hexindo Adiperkasa vs. Solusi Bangun Indonesia |
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 Portfolio Optimization module to compute new portfolio that will generate highest expected return given your specified tolerance for risk.
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