Correlation Between Wijaya Karya and Sumber Mas
Can any of the company-specific risk be diversified away by investing in both Wijaya Karya and Sumber Mas 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 Wijaya Karya and Sumber Mas into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Wijaya Karya Bangunan and Sumber Mas Konstruksi, you can compare the effects of market volatilities on Wijaya Karya and Sumber Mas 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 Wijaya Karya with a short position of Sumber Mas. Check out your portfolio center. Please also check ongoing floating volatility patterns of Wijaya Karya and Sumber Mas.
Diversification Opportunities for Wijaya Karya and Sumber Mas
0.7 | Correlation Coefficient |
Poor diversification
The 3 months correlation between Wijaya and Sumber is 0.7. Overlapping area represents the amount of risk that can be diversified away by holding Wijaya Karya Bangunan and Sumber Mas Konstruksi in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Sumber Mas Konstruksi and Wijaya Karya 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 Wijaya Karya Bangunan are associated (or correlated) with Sumber Mas. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Sumber Mas Konstruksi has no effect on the direction of Wijaya Karya i.e., Wijaya Karya and Sumber Mas go up and down completely randomly.
Pair Corralation between Wijaya Karya and Sumber Mas
Assuming the 90 days trading horizon Wijaya Karya Bangunan is expected to generate 0.57 times more return on investment than Sumber Mas. However, Wijaya Karya Bangunan is 1.77 times less risky than Sumber Mas. It trades about -0.17 of its potential returns per unit of risk. Sumber Mas Konstruksi is currently generating about -0.23 per unit of risk. If you would invest 7,100 in Wijaya Karya Bangunan on November 3, 2024 and sell it today you would lose (1,100) from holding Wijaya Karya Bangunan or give up 15.49% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Wijaya Karya Bangunan vs. Sumber Mas Konstruksi
Performance |
| Timeline |
| Wijaya Karya Bangunan |
| Sumber Mas Konstruksi |
Wijaya Karya and Sumber Mas Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Wijaya Karya and Sumber Mas
The main advantage of trading using opposite Wijaya Karya and Sumber Mas positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Wijaya Karya position performs unexpectedly, Sumber Mas 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 Mas will offset losses from the drop in Sumber Mas' long position.| Wijaya Karya vs. Wijaya Karya Beton | Wijaya Karya vs. Waskita Beton Precast | Wijaya Karya vs. Pembangunan Perumahan PT | Wijaya Karya vs. Puradelta Lestari PT |
| Sumber Mas vs. Wahana Inti MakmurTbk | Sumber Mas vs. Sumber Tani Agung | Sumber Mas vs. Nanotech Indonesia Global | Sumber Mas vs. RMK Energy 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 Idea Analyzer module to analyze all characteristics, volatility and risk-adjusted return of Macroaxis ideas.
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