Correlation Between Modernland Realty and Suryamas Dutamakmur

Can any of the company-specific risk be diversified away by investing in both Modernland Realty and Suryamas Dutamakmur 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 Modernland Realty and Suryamas Dutamakmur into the same portfolio, which is an essential part of the fundamental portfolio management process.

By analyzing existing cross correlation between Modernland Realty Ltd and Suryamas Dutamakmur Tbk, you can compare the effects of market volatilities on Modernland Realty and Suryamas Dutamakmur 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 Modernland Realty with a short position of Suryamas Dutamakmur. Check out your portfolio center. Please also check ongoing floating volatility patterns of Modernland Realty and Suryamas Dutamakmur.

Diversification Opportunities for Modernland Realty and Suryamas Dutamakmur

-0.63

Correlation Coefficient

Modernland Realty  Suryamas Dutamakmur

Excellent diversification

The 3 months correlation between Modernland and Suryamas is -0.63. Overlapping area represents the amount of risk that can be diversified away by holding Modernland Realty Ltd and Suryamas Dutamakmur Tbk in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Suryamas Dutamakmur Tbk and Modernland Realty 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 Modernland Realty Ltd are associated (or correlated) with Suryamas Dutamakmur. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Suryamas Dutamakmur Tbk has no effect on the direction of Modernland Realty i.e., Modernland Realty and Suryamas Dutamakmur go up and down completely randomly.

Pair Corralation between Modernland Realty and Suryamas Dutamakmur

Assuming the 90 days trading horizon Modernland Realty is expected to generate 207.27 times less return on investment than Suryamas Dutamakmur. But when comparing it to its historical volatility, Modernland Realty Ltd is 6.95 times less risky than Suryamas Dutamakmur. It trades about 0.01 of its potential returns per unit of risk. Suryamas Dutamakmur Tbk is currently generating about 0.21 of returns per unit of risk over similar time horizon. If you would invest  52,500  in Suryamas Dutamakmur Tbk on December 25, 2024 and sell it today you would earn a total of  77,500  from holding Suryamas Dutamakmur Tbk or generate 147.62% return on investment over 90 days.

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

Modernland Realty Ltd  vs.  Suryamas Dutamakmur Tbk

Modernland Realty

Risk-Adjusted Performance

Very Weak

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

Suryamas Dutamakmur Tbk

Risk-Adjusted Performance

Solid

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

Pair Trading with Modernland Realty and Suryamas Dutamakmur

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

The idea behind Modernland Realty Ltd and Suryamas Dutamakmur Tbk 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 Technical Analysis module to check basic technical indicators and analysis based on most latest market data.