Correlation Between Bumi Serpong and Greenwood Sejahtera
Can any of the company-specific risk be diversified away by investing in both Bumi Serpong and Greenwood Sejahtera 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 Bumi Serpong and Greenwood Sejahtera into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Bumi Serpong Damai and Greenwood Sejahtera Tbk, you can compare the effects of market volatilities on Bumi Serpong and Greenwood Sejahtera 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 Bumi Serpong with a short position of Greenwood Sejahtera. Check out your portfolio center. Please also check ongoing floating volatility patterns of Bumi Serpong and Greenwood Sejahtera.
Diversification Opportunities for Bumi Serpong and Greenwood Sejahtera
0.51 | Correlation Coefficient |
Very weak diversification
The 3 months correlation between Bumi and Greenwood is 0.51. Overlapping area represents the amount of risk that can be diversified away by holding Bumi Serpong Damai and Greenwood Sejahtera Tbk in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Greenwood Sejahtera Tbk and Bumi Serpong 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 Bumi Serpong Damai are associated (or correlated) with Greenwood Sejahtera. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Greenwood Sejahtera Tbk has no effect on the direction of Bumi Serpong i.e., Bumi Serpong and Greenwood Sejahtera go up and down completely randomly.
Pair Corralation between Bumi Serpong and Greenwood Sejahtera
Assuming the 90 days trading horizon Bumi Serpong Damai is expected to under-perform the Greenwood Sejahtera. But the stock apears to be less risky and, when comparing its historical volatility, Bumi Serpong Damai is 1.13 times less risky than Greenwood Sejahtera. The stock trades about -0.16 of its potential returns per unit of risk. The Greenwood Sejahtera Tbk is currently generating about -0.05 of returns per unit of risk over similar time horizon. If you would invest 13,200 in Greenwood Sejahtera Tbk on December 4, 2024 and sell it today you would lose (800.00) from holding Greenwood Sejahtera Tbk or give up 6.06% of portfolio value over 90 days.
Time Period | 3 Months [change] |
Direction | Moves Together |
Strength | Weak |
Accuracy | 100.0% |
Values | Daily Returns |
Bumi Serpong Damai vs. Greenwood Sejahtera Tbk
Performance |
Timeline |
Bumi Serpong Damai |
Greenwood Sejahtera Tbk |
Bumi Serpong and Greenwood Sejahtera Volatility Contrast
Predicted Return Density |
Returns |
Pair Trading with Bumi Serpong and Greenwood Sejahtera
The main advantage of trading using opposite Bumi Serpong and Greenwood Sejahtera positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Bumi Serpong position performs unexpectedly, Greenwood Sejahtera 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 Greenwood Sejahtera will offset losses from the drop in Greenwood Sejahtera's long position.Bumi Serpong vs. Alam Sutera Realty | Bumi Serpong vs. Ciputra Development Tbk | Bumi Serpong vs. Summarecon Agung Tbk | Bumi Serpong vs. Pakuwon Jati 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 Alpha Finder module to use alpha and beta coefficients to find investment opportunities after accounting for the risk.
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