Correlation Between Sumber Mas and Nusa Raya
Can any of the company-specific risk be diversified away by investing in both Sumber Mas and Nusa Raya 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 Sumber Mas and Nusa Raya into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Sumber Mas Konstruksi and Nusa Raya Cipta, you can compare the effects of market volatilities on Sumber Mas and Nusa Raya 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 Sumber Mas with a short position of Nusa Raya. Check out your portfolio center. Please also check ongoing floating volatility patterns of Sumber Mas and Nusa Raya.
Diversification Opportunities for Sumber Mas and Nusa Raya
0.58 | Correlation Coefficient |
Very weak diversification
The 3 months correlation between Sumber and Nusa is 0.58. Overlapping area represents the amount of risk that can be diversified away by holding Sumber Mas Konstruksi and Nusa Raya Cipta in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Nusa Raya Cipta and Sumber Mas 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 Sumber Mas Konstruksi are associated (or correlated) with Nusa Raya. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Nusa Raya Cipta has no effect on the direction of Sumber Mas i.e., Sumber Mas and Nusa Raya go up and down completely randomly.
Pair Corralation between Sumber Mas and Nusa Raya
Assuming the 90 days trading horizon Sumber Mas Konstruksi is expected to under-perform the Nusa Raya. In addition to that, Sumber Mas is 3.35 times more volatile than Nusa Raya Cipta. It trades about -0.23 of its total potential returns per unit of risk. Nusa Raya Cipta is currently generating about -0.07 per unit of volatility. If you would invest 36,000 in Nusa Raya Cipta on November 3, 2024 and sell it today you would lose (1,200) from holding Nusa Raya Cipta or give up 3.33% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
Sumber Mas Konstruksi vs. Nusa Raya Cipta
Performance |
| Timeline |
| Sumber Mas Konstruksi |
| Nusa Raya Cipta |
Sumber Mas and Nusa Raya Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Sumber Mas and Nusa Raya
The main advantage of trading using opposite Sumber Mas and Nusa Raya positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Sumber Mas position performs unexpectedly, Nusa Raya 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 Nusa Raya will offset losses from the drop in Nusa Raya's long position.| Sumber Mas vs. Wahana Inti MakmurTbk | Sumber Mas vs. Sumber Tani Agung | Sumber Mas vs. Nanotech Indonesia Global | Sumber Mas vs. RMK Energy PT |
| Nusa Raya vs. Total Bangun Persada | Nusa Raya vs. Surya Semesta Internusa | Nusa Raya vs. Acset Indonusa Tbk | Nusa Raya vs. Mitra Pinasthika Mustika |
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 Global Correlations module to find global opportunities by holding instruments from different markets.
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