Correlation Between Sentra Food and PT Sunter

Can any of the company-specific risk be diversified away by investing in both Sentra Food and PT Sunter 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 Sentra Food and PT Sunter into the same portfolio, which is an essential part of the fundamental portfolio management process.

By analyzing existing cross correlation between Sentra Food Indonesia and PT Sunter Lakeside, you can compare the effects of market volatilities on Sentra Food and PT Sunter 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 Sentra Food with a short position of PT Sunter. Check out your portfolio center. Please also check ongoing floating volatility patterns of Sentra Food and PT Sunter.

Diversification Opportunities for Sentra Food and PT Sunter

0.14

Correlation Coefficient

Sentra Food  PT Sunter

Average diversification

The 3 months correlation between Sentra and SNLK is 0.14. Overlapping area represents the amount of risk that can be diversified away by holding Sentra Food Indonesia and PT Sunter Lakeside in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on PT Sunter Lakeside and Sentra Food 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 Sentra Food Indonesia are associated (or correlated) with PT Sunter. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of PT Sunter Lakeside has no effect on the direction of Sentra Food i.e., Sentra Food and PT Sunter go up and down completely randomly.

Pair Corralation between Sentra Food and PT Sunter

Assuming the 90 days trading horizon Sentra Food is expected to generate 504.61 times less return on investment than PT Sunter. But when comparing it to its historical volatility, Sentra Food Indonesia is 4.13 times less risky than PT Sunter. It trades about 0.0 of its potential returns per unit of risk. PT Sunter Lakeside is currently generating about 0.47 of returns per unit of risk over similar time horizon. If you would invest  71,500  in PT Sunter Lakeside on September 15, 2024 and sell it today you would earn a total of  26,500  from holding PT Sunter Lakeside or generate 37.06% return on investment over 90 days.

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

Sentra Food Indonesia  vs.  PT Sunter Lakeside

Sentra Food Indonesia

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Sentra Food Indonesia has generated negative risk-adjusted returns adding no value to investors with long positions. Despite quite persistent forward-looking signals, Sentra Food is not utilizing all of its potentials. The latest stock price mess, may contribute to short-term losses for the institutional investors.

PT Sunter Lakeside

Risk-Adjusted Performance

16 of 100

Solid

Compared to the overall equity markets, risk-adjusted returns on investments in PT Sunter Lakeside are ranked lower than 16 (%) of all global equities and portfolios over the last 90 days. Despite quite conflicting forward-looking signals, PT Sunter disclosed solid returns over the last few months and may actually be approaching a breakup point.

Pair Trading with Sentra Food and PT Sunter

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

The idea behind Sentra Food Indonesia and PT Sunter Lakeside 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.

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 My Watchlist Analysis module to analyze my current watchlist and to refresh optimization strategy. Macroaxis watchlist is based on self-learning algorithm to remember stocks you like.