Correlation Between Sawit Sumbermas and Sumber Tani
Can any of the company-specific risk be diversified away by investing in both Sawit Sumbermas and Sumber Tani 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 Sawit Sumbermas and Sumber Tani into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Sawit Sumbermas Sarana and Sumber Tani Agung, you can compare the effects of market volatilities on Sawit Sumbermas and Sumber Tani 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 Sawit Sumbermas with a short position of Sumber Tani. Check out your portfolio center. Please also check ongoing floating volatility patterns of Sawit Sumbermas and Sumber Tani.
Diversification Opportunities for Sawit Sumbermas and Sumber Tani
0.78 | Correlation Coefficient |
Poor diversification
The 3 months correlation between Sawit and Sumber is 0.78. Overlapping area represents the amount of risk that can be diversified away by holding Sawit Sumbermas Sarana and Sumber Tani Agung in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Sumber Tani Agung and Sawit Sumbermas 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 Sawit Sumbermas Sarana are associated (or correlated) with Sumber Tani. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Sumber Tani Agung has no effect on the direction of Sawit Sumbermas i.e., Sawit Sumbermas and Sumber Tani go up and down completely randomly.
Pair Corralation between Sawit Sumbermas and Sumber Tani
Assuming the 90 days trading horizon Sawit Sumbermas Sarana is expected to generate 2.02 times more return on investment than Sumber Tani. However, Sawit Sumbermas is 2.02 times more volatile than Sumber Tani Agung. It trades about 0.01 of its potential returns per unit of risk. Sumber Tani Agung is currently generating about 0.01 per unit of risk. If you would invest 106,000 in Sawit Sumbermas Sarana on August 24, 2024 and sell it today you would lose (3,000) from holding Sawit Sumbermas Sarana or give up 2.83% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Sawit Sumbermas Sarana vs. Sumber Tani Agung
Performance |
| Timeline |
| Sawit Sumbermas Sarana |
| Sumber Tani Agung |
Sawit Sumbermas and Sumber Tani Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Sawit Sumbermas and Sumber Tani
The main advantage of trading using opposite Sawit Sumbermas and Sumber Tani positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Sawit Sumbermas position performs unexpectedly, Sumber Tani 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 Sumber Tani will offset losses from the drop in Sumber Tani's long position.| Sawit Sumbermas vs. Surya Citra Media | Sawit Sumbermas vs. Matahari Department Store | Sawit Sumbermas vs. Salim Ivomas Pratama | Sawit Sumbermas vs. Akr Corporindo Tbk |
| Sumber Tani vs. Dharma Satya Nusantara | Sumber Tani vs. Saratoga Investama Sedaya | Sumber Tani vs. Surya Esa Perkasa | Sumber Tani vs. Elang Mahkota Teknologi |
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 Comparator module to compare the composition, asset allocations and performance of any two portfolios in your account.
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