Correlation Between Sampoerna Agro and Mustika Ratu
Can any of the company-specific risk be diversified away by investing in both Sampoerna Agro and Mustika Ratu 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 Mustika Ratu 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 Mustika Ratu Tbk, you can compare the effects of market volatilities on Sampoerna Agro and Mustika Ratu 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 Mustika Ratu. Check out your portfolio center. Please also check ongoing floating volatility patterns of Sampoerna Agro and Mustika Ratu.
Diversification Opportunities for Sampoerna Agro and Mustika Ratu
-0.37 | Correlation Coefficient |
Very good diversification
The 3 months correlation between Sampoerna and Mustika is -0.37. Overlapping area represents the amount of risk that can be diversified away by holding Sampoerna Agro Tbk and Mustika Ratu Tbk in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Mustika Ratu 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 Mustika Ratu. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Mustika Ratu Tbk has no effect on the direction of Sampoerna Agro i.e., Sampoerna Agro and Mustika Ratu go up and down completely randomly.
Pair Corralation between Sampoerna Agro and Mustika Ratu
Assuming the 90 days trading horizon Sampoerna Agro Tbk is expected to generate 0.27 times more return on investment than Mustika Ratu. However, Sampoerna Agro Tbk is 3.71 times less risky than Mustika Ratu. It trades about 0.03 of its potential returns per unit of risk. Mustika Ratu Tbk is currently generating about -0.03 per unit of risk. If you would invest 182,743 in Sampoerna Agro Tbk on August 30, 2024 and sell it today you would earn a total of 20,257 from holding Sampoerna Agro Tbk or generate 11.08% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Insignificant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Sampoerna Agro Tbk vs. Mustika Ratu Tbk
Performance |
| Timeline |
| Sampoerna Agro Tbk |
| Mustika Ratu Tbk |
Sampoerna Agro and Mustika Ratu Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Sampoerna Agro and Mustika Ratu
The main advantage of trading using opposite Sampoerna Agro and Mustika Ratu positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Sampoerna Agro position performs unexpectedly, Mustika Ratu 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 Mustika Ratu will offset losses from the drop in Mustika Ratu'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 |
| Mustika Ratu vs. Bakrieland Development Tbk | Mustika Ratu vs. Bakrie Brothers Tbk | Mustika Ratu vs. Energi Mega Persada | Mustika Ratu vs. Sampoerna Agro 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 Portfolio Manager module to state of the art Portfolio Manager to monitor and improve performance of your invested capital.
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