Correlation Between Sampoerna Agro and United Tractors
Can any of the company-specific risk be diversified away by investing in both Sampoerna Agro and United Tractors 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 United Tractors 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 United Tractors Tbk, you can compare the effects of market volatilities on Sampoerna Agro and United Tractors 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 United Tractors. Check out your portfolio center. Please also check ongoing floating volatility patterns of Sampoerna Agro and United Tractors.
Diversification Opportunities for Sampoerna Agro and United Tractors
-0.69 | Correlation Coefficient |
Excellent diversification
The 3 months correlation between Sampoerna and United is -0.69. Overlapping area represents the amount of risk that can be diversified away by holding Sampoerna Agro Tbk and United Tractors Tbk in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on United Tractors 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 United Tractors. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of United Tractors Tbk has no effect on the direction of Sampoerna Agro i.e., Sampoerna Agro and United Tractors go up and down completely randomly.
Pair Corralation between Sampoerna Agro and United Tractors
Assuming the 90 days trading horizon Sampoerna Agro is expected to generate 2.41 times less return on investment than United Tractors. But when comparing it to its historical volatility, Sampoerna Agro Tbk is 2.11 times less risky than United Tractors. It trades about 0.04 of its potential returns per unit of risk. United Tractors Tbk is currently generating about 0.05 of returns per unit of risk over similar time horizon. If you would invest 1,750,865 in United Tractors Tbk on November 2, 2024 and sell it today you would earn a total of 684,135 from holding United Tractors Tbk or generate 39.07% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Weak |
| Accuracy | 99.79% |
| Values | Daily Returns |
Sampoerna Agro Tbk vs. United Tractors Tbk
Performance |
| Timeline |
| Sampoerna Agro Tbk |
| United Tractors Tbk |
Sampoerna Agro and United Tractors Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Sampoerna Agro and United Tractors
The main advantage of trading using opposite Sampoerna Agro and United Tractors positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Sampoerna Agro position performs unexpectedly, United Tractors 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 United Tractors will offset losses from the drop in United Tractors' 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 |
| United Tractors vs. Astra International Tbk | United Tractors vs. Bukit Asam Tbk | United Tractors vs. Semen Indonesia Persero | United Tractors vs. PT Indofood Sukses |
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 Equity Forecasting module to use basic forecasting models to generate price predictions and determine price momentum.
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