Correlation Between PT Sarana and Sido Muncul
Can any of the company-specific risk be diversified away by investing in both PT Sarana and Sido Muncul 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 PT Sarana and Sido Muncul into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between PT Sarana Menara and Sido Muncul PT, you can compare the effects of market volatilities on PT Sarana and Sido Muncul 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 PT Sarana with a short position of Sido Muncul. Check out your portfolio center. Please also check ongoing floating volatility patterns of PT Sarana and Sido Muncul.
Diversification Opportunities for PT Sarana and Sido Muncul
0.74 | Correlation Coefficient |
Poor diversification
The 3 months correlation between TOWR and Sido is 0.74. Overlapping area represents the amount of risk that can be diversified away by holding PT Sarana Menara and Sido Muncul PT in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Sido Muncul PT and PT Sarana 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 PT Sarana Menara are associated (or correlated) with Sido Muncul. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Sido Muncul PT has no effect on the direction of PT Sarana i.e., PT Sarana and Sido Muncul go up and down completely randomly.
Pair Corralation between PT Sarana and Sido Muncul
Assuming the 90 days trading horizon PT Sarana Menara is expected to under-perform the Sido Muncul. But the stock apears to be less risky and, when comparing its historical volatility, PT Sarana Menara is 1.31 times less risky than Sido Muncul. The stock trades about -0.39 of its potential returns per unit of risk. The Sido Muncul PT is currently generating about -0.16 of returns per unit of risk over similar time horizon. If you would invest 60,641 in Sido Muncul PT on August 25, 2024 and sell it today you would lose (3,641) from holding Sido Muncul PT or give up 6.0% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
PT Sarana Menara vs. Sido Muncul PT
Performance |
| Timeline |
| PT Sarana Menara |
| Sido Muncul PT |
PT Sarana and Sido Muncul Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with PT Sarana and Sido Muncul
The main advantage of trading using opposite PT Sarana and Sido Muncul positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if PT Sarana position performs unexpectedly, Sido Muncul 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 Sido Muncul will offset losses from the drop in Sido Muncul's long position.| PT Sarana vs. Tower Bersama Infrastructure | PT Sarana vs. Merdeka Copper Gold | PT Sarana vs. XL Axiata Tbk | PT Sarana vs. Japfa Comfeed Indonesia |
| Sido Muncul vs. Indofood Cbp Sukses | Sido Muncul vs. Mayora Indah Tbk | Sido Muncul vs. Bank Pembangunan Timur | Sido Muncul vs. Pakuwon Jati 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 Idea Analyzer module to analyze all characteristics, volatility and risk-adjusted return of Macroaxis ideas.
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