Correlation Between Surya Toto and Matahari Department
Can any of the company-specific risk be diversified away by investing in both Surya Toto and Matahari Department 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 Surya Toto and Matahari Department into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Surya Toto Indonesia and Matahari Department Store, you can compare the effects of market volatilities on Surya Toto and Matahari Department 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 Surya Toto with a short position of Matahari Department. Check out your portfolio center. Please also check ongoing floating volatility patterns of Surya Toto and Matahari Department.
Diversification Opportunities for Surya Toto and Matahari Department
-0.75 | Correlation Coefficient |
Pay attention - limited upside
The 3 months correlation between Surya and Matahari is -0.75. Overlapping area represents the amount of risk that can be diversified away by holding Surya Toto Indonesia and Matahari Department Store in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Matahari Department Store and Surya Toto 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 Surya Toto Indonesia are associated (or correlated) with Matahari Department. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Matahari Department Store has no effect on the direction of Surya Toto i.e., Surya Toto and Matahari Department go up and down completely randomly.
Pair Corralation between Surya Toto and Matahari Department
Assuming the 90 days trading horizon Surya Toto Indonesia is expected to generate 0.4 times more return on investment than Matahari Department. However, Surya Toto Indonesia is 2.48 times less risky than Matahari Department. It trades about 0.0 of its potential returns per unit of risk. Matahari Department Store is currently generating about -0.07 per unit of risk. If you would invest 23,446 in Surya Toto Indonesia on September 3, 2024 and sell it today you would lose (1,046) from holding Surya Toto Indonesia or give up 4.46% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
Surya Toto Indonesia vs. Matahari Department Store
Performance |
| Timeline |
| Surya Toto Indonesia |
| Matahari Department Store |
Surya Toto and Matahari Department Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Surya Toto and Matahari Department
The main advantage of trading using opposite Surya Toto and Matahari Department positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Surya Toto position performs unexpectedly, Matahari Department 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 Matahari Department will offset losses from the drop in Matahari Department's long position.| Surya Toto vs. Unggul Indah Cahaya | Surya Toto vs. Tembaga Mulia Semanan | Surya Toto vs. PT Mulia Industrindo | Surya Toto vs. Trias Sentosa Tbk |
| Matahari Department vs. Surya Citra Media | Matahari Department vs. Akr Corporindo Tbk | Matahari Department vs. Media Nusantara Citra | Matahari Department vs. Pembangunan Perumahan PT |
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.
Other Complementary Tools
| Equity Forecasting Use basic forecasting models to generate price predictions and determine price momentum | |
| ETF Categories List of ETF categories grouped based on various criteria, such as the investment strategy or type of investments | |
| Performance Analysis Check effects of mean-variance optimization against your current asset allocation | |
| ETFs Find actively traded Exchange Traded Funds (ETF) from around the world | |
| Risk-Return Analysis View associations between returns expected from investment and the risk you assume |