Correlation Between Citra Borneo and Sumber Tani

Can any of the company-specific risk be diversified away by investing in both Citra Borneo and Sumber Tani 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 Citra Borneo and Sumber Tani into the same portfolio, which is an essential part of the fundamental portfolio management process.

By analyzing existing cross correlation between Citra Borneo Utama and Sumber Tani Agung, you can compare the effects of market volatilities on Citra Borneo and Sumber Tani 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 Citra Borneo with a short position of Sumber Tani. Check out your portfolio center. Please also check ongoing floating volatility patterns of Citra Borneo and Sumber Tani.

Diversification Opportunities for Citra Borneo and Sumber Tani

-0.16

Correlation Coefficient

Citra Borneo  Sumber Tani

Good diversification

The 3 months correlation between Citra and Sumber is -0.16. Overlapping area represents the amount of risk that can be diversified away by holding Citra Borneo Utama and Sumber Tani Agung in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Sumber Tani Agung and Citra Borneo 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 Citra Borneo Utama are associated (or correlated) with Sumber Tani. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Sumber Tani Agung has no effect on the direction of Citra Borneo i.e., Citra Borneo and Sumber Tani go up and down completely randomly.

Pair Corralation between Citra Borneo and Sumber Tani

Assuming the 90 days trading horizon Citra Borneo Utama is expected to generate 1.81 times more return on investment than Sumber Tani. However, Citra Borneo is 1.81 times more volatile than Sumber Tani Agung. It trades about 0.07 of its potential returns per unit of risk. Sumber Tani Agung is currently generating about 0.07 per unit of risk. If you would invest  91,500  in Citra Borneo Utama on December 22, 2024 and sell it today you would earn a total of  8,000  from holding Citra Borneo Utama or generate 8.74% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Against
Strength	Insignificant
Accuracy	100.0%
Values	Daily Returns

Citra Borneo Utama  vs.  Sumber Tani Agung

Citra Borneo Utama

Risk-Adjusted Performance

Modest

Compared to the overall equity markets, risk-adjusted returns on investments in Citra Borneo Utama are ranked lower than 5 (%) of all global equities and portfolios over the last 90 days. Despite quite conflicting forward-looking signals, Citra Borneo may actually be approaching a critical reversion point that can send shares even higher in April 2025.

Sumber Tani Agung

Risk-Adjusted Performance

OK

Compared to the overall equity markets, risk-adjusted returns on investments in Sumber Tani Agung are ranked lower than 5 (%) of all global equities and portfolios over the last 90 days. Despite quite conflicting forward-looking signals, Sumber Tani may actually be approaching a critical reversion point that can send shares even higher in April 2025.

Pair Trading with Citra Borneo and Sumber Tani

The main advantage of trading using opposite Citra Borneo and Sumber Tani positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Citra Borneo position performs unexpectedly, Sumber Tani 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 Tani will offset losses from the drop in Sumber Tani's long position.

The idea behind Citra Borneo Utama and Sumber Tani Agung pairs trading is to make the combined position market-neutral, meaning the overall market's direction will not affect its win or loss (or potential downside or upside). This can be achieved by designing a pairs trade with two highly correlated stocks or equities that operate in a similar space or sector, making it possible to obtain profits through simple and relatively low-risk investment.

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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.