Correlation Between Sampoerna Agro and Sinar Mas
Can any of the company-specific risk be diversified away by investing in both Sampoerna Agro and Sinar Mas 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 Sinar Mas 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 Sinar Mas Agro, you can compare the effects of market volatilities on Sampoerna Agro and Sinar Mas 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 Sinar Mas. Check out your portfolio center. Please also check ongoing floating volatility patterns of Sampoerna Agro and Sinar Mas.
Diversification Opportunities for Sampoerna Agro and Sinar Mas
0.23 | Correlation Coefficient |
Modest diversification
The 3 months correlation between Sampoerna and Sinar is 0.23. Overlapping area represents the amount of risk that can be diversified away by holding Sampoerna Agro Tbk and Sinar Mas Agro in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Sinar Mas 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 Sinar Mas. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Sinar Mas Agro has no effect on the direction of Sampoerna Agro i.e., Sampoerna Agro and Sinar Mas go up and down completely randomly.
Pair Corralation between Sampoerna Agro and Sinar Mas
Assuming the 90 days trading horizon Sampoerna Agro Tbk is expected to under-perform the Sinar Mas. But the stock apears to be less risky and, when comparing its historical volatility, Sampoerna Agro Tbk is 2.46 times less risky than Sinar Mas. The stock trades about -0.07 of its potential returns per unit of risk. The Sinar Mas Agro is currently generating about 0.01 of returns per unit of risk over similar time horizon. If you would invest 392,207 in Sinar Mas Agro on September 2, 2024 and sell it today you would earn a total of 793.00 from holding Sinar Mas Agro or generate 0.2% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
Sampoerna Agro Tbk vs. Sinar Mas Agro
Performance |
| Timeline |
| Sampoerna Agro Tbk |
| Sinar Mas Agro |
Sampoerna Agro and Sinar Mas Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Sampoerna Agro and Sinar Mas
The main advantage of trading using opposite Sampoerna Agro and Sinar Mas positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Sampoerna Agro position performs unexpectedly, Sinar Mas 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 Sinar Mas will offset losses from the drop in Sinar Mas' 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 |
| Sinar Mas vs. Bank BRISyariah Tbk | Sinar Mas vs. Mitra Pinasthika Mustika | Sinar Mas vs. Jakarta Int Hotels | Sinar Mas 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 Portfolio Suggestion module to get suggestions outside of your existing asset allocation including your own model portfolios.
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