Correlation Between Sampoerna Agro and Buyung Poetra
Can any of the company-specific risk be diversified away by investing in both Sampoerna Agro and Buyung Poetra 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 Buyung Poetra 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 Buyung Poetra Sembada, you can compare the effects of market volatilities on Sampoerna Agro and Buyung Poetra 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 Buyung Poetra. Check out your portfolio center. Please also check ongoing floating volatility patterns of Sampoerna Agro and Buyung Poetra.
Diversification Opportunities for Sampoerna Agro and Buyung Poetra
-0.13 | Correlation Coefficient |
Good diversification
The 3 months correlation between Sampoerna and Buyung is -0.13. Overlapping area represents the amount of risk that can be diversified away by holding Sampoerna Agro Tbk and Buyung Poetra Sembada in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Buyung Poetra Sembada 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 Buyung Poetra. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Buyung Poetra Sembada has no effect on the direction of Sampoerna Agro i.e., Sampoerna Agro and Buyung Poetra go up and down completely randomly.
Pair Corralation between Sampoerna Agro and Buyung Poetra
Assuming the 90 days trading horizon Sampoerna Agro is expected to generate 3.29 times less return on investment than Buyung Poetra. But when comparing it to its historical volatility, Sampoerna Agro Tbk is 5.04 times less risky than Buyung Poetra. It trades about 0.07 of its potential returns per unit of risk. Buyung Poetra Sembada is currently generating about 0.04 of returns per unit of risk over similar time horizon. If you would invest 8,629 in Buyung Poetra Sembada on September 2, 2024 and sell it today you would earn a total of 3,771 from holding Buyung Poetra Sembada or generate 43.7% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Insignificant |
| Accuracy | 99.72% |
| Values | Daily Returns |
Sampoerna Agro Tbk vs. Buyung Poetra Sembada
Performance |
| Timeline |
| Sampoerna Agro Tbk |
| Buyung Poetra Sembada |
Sampoerna Agro and Buyung Poetra Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Sampoerna Agro and Buyung Poetra
The main advantage of trading using opposite Sampoerna Agro and Buyung Poetra positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Sampoerna Agro position performs unexpectedly, Buyung Poetra 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 Buyung Poetra will offset losses from the drop in Buyung Poetra'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 |
| Buyung Poetra vs. Integra Indocabinet Tbk | Buyung Poetra vs. Sariguna Primatirta PT | Buyung Poetra vs. Erajaya Swasembada Tbk | Buyung Poetra vs. Puradelta Lestari 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 ETFs module to find actively traded Exchange Traded Funds (ETF) from around the world.
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