Correlation Between Agung Podomoro and Sawit Sumbermas
Can any of the company-specific risk be diversified away by investing in both Agung Podomoro and Sawit Sumbermas 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 Agung Podomoro and Sawit Sumbermas into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Agung Podomoro Land and Sawit Sumbermas Sarana, you can compare the effects of market volatilities on Agung Podomoro and Sawit Sumbermas 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 Agung Podomoro with a short position of Sawit Sumbermas. Check out your portfolio center. Please also check ongoing floating volatility patterns of Agung Podomoro and Sawit Sumbermas.
Diversification Opportunities for Agung Podomoro and Sawit Sumbermas
0.58 | Correlation Coefficient |
Very weak diversification
The 3 months correlation between Agung and Sawit is 0.58. Overlapping area represents the amount of risk that can be diversified away by holding Agung Podomoro Land and Sawit Sumbermas Sarana in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Sawit Sumbermas Sarana and Agung Podomoro 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 Agung Podomoro Land are associated (or correlated) with Sawit Sumbermas. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Sawit Sumbermas Sarana has no effect on the direction of Agung Podomoro i.e., Agung Podomoro and Sawit Sumbermas go up and down completely randomly.
Pair Corralation between Agung Podomoro and Sawit Sumbermas
Assuming the 90 days trading horizon Agung Podomoro Land is expected to under-perform the Sawit Sumbermas. But the stock apears to be less risky and, when comparing its historical volatility, Agung Podomoro Land is 1.87 times less risky than Sawit Sumbermas. The stock trades about -0.22 of its potential returns per unit of risk. The Sawit Sumbermas Sarana is currently generating about -0.03 of returns per unit of risk over similar time horizon. If you would invest 104,500 in Sawit Sumbermas Sarana on January 26, 2024 and sell it today you would lose (2,000) from holding Sawit Sumbermas Sarana or give up 1.91% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
Agung Podomoro Land vs. Sawit Sumbermas Sarana
Performance |
| Timeline |
| Agung Podomoro Land |
| Sawit Sumbermas Sarana |
Agung Podomoro and Sawit Sumbermas Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Agung Podomoro and Sawit Sumbermas
The main advantage of trading using opposite Agung Podomoro and Sawit Sumbermas positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Agung Podomoro position performs unexpectedly, Sawit Sumbermas 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 Sawit Sumbermas will offset losses from the drop in Sawit Sumbermas' long position.| Agung Podomoro vs. Alam Sutera Realty | Agung Podomoro vs. Bumi Serpong Damai | Agung Podomoro vs. Summarecon Agung Tbk | Agung Podomoro vs. Ciputra Development Tbk |
| Sawit Sumbermas vs. Surya Citra Media | Sawit Sumbermas vs. Matahari Department Store | Sawit Sumbermas vs. Salim Ivomas Pratama | Sawit Sumbermas vs. Akr Corporindo 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 Equity Analysis module to research over 250,000 global equities including funds, stocks and ETFs to find investment opportunities.
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