Correlation Between Alam Sutera and Duta Pertiwi
Can any of the company-specific risk be diversified away by investing in both Alam Sutera and Duta Pertiwi 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 Alam Sutera and Duta Pertiwi into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Alam Sutera Realty and Duta Pertiwi Tbk, you can compare the effects of market volatilities on Alam Sutera and Duta Pertiwi 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 Alam Sutera with a short position of Duta Pertiwi. Check out your portfolio center. Please also check ongoing floating volatility patterns of Alam Sutera and Duta Pertiwi.
Diversification Opportunities for Alam Sutera and Duta Pertiwi
0.66 | Correlation Coefficient |
Poor diversification
The 3 months correlation between Alam and Duta is 0.66. Overlapping area represents the amount of risk that can be diversified away by holding Alam Sutera Realty and Duta Pertiwi Tbk in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Duta Pertiwi Tbk and Alam Sutera 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 Alam Sutera Realty are associated (or correlated) with Duta Pertiwi. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Duta Pertiwi Tbk has no effect on the direction of Alam Sutera i.e., Alam Sutera and Duta Pertiwi go up and down completely randomly.
Pair Corralation between Alam Sutera and Duta Pertiwi
Assuming the 90 days trading horizon Alam Sutera Realty is expected to under-perform the Duta Pertiwi. In addition to that, Alam Sutera is 2.36 times more volatile than Duta Pertiwi Tbk. It trades about -0.19 of its total potential returns per unit of risk. Duta Pertiwi Tbk is currently generating about -0.1 per unit of volatility. If you would invest 362,000 in Duta Pertiwi Tbk on December 2, 2024 and sell it today you would lose (17,000) from holding Duta Pertiwi Tbk or give up 4.7% of portfolio value over 90 days.
Time Period | 3 Months [change] |
Direction | Moves Together |
Strength | Significant |
Accuracy | 100.0% |
Values | Daily Returns |
Alam Sutera Realty vs. Duta Pertiwi Tbk
Performance |
Timeline |
Alam Sutera Realty |
Duta Pertiwi Tbk |
Alam Sutera and Duta Pertiwi Volatility Contrast
Predicted Return Density |
Returns |
Pair Trading with Alam Sutera and Duta Pertiwi
The main advantage of trading using opposite Alam Sutera and Duta Pertiwi positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Alam Sutera position performs unexpectedly, Duta Pertiwi 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 Duta Pertiwi will offset losses from the drop in Duta Pertiwi's long position.Alam Sutera vs. Bumi Serpong Damai | Alam Sutera vs. Summarecon Agung Tbk | Alam Sutera vs. Lippo Karawaci Tbk | Alam Sutera vs. Ciputra Development Tbk |
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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 Share Portfolio module to track or share privately all of your investments from the convenience of any device.
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