Correlation Between Modernland Realty and Summarecon Agung

Can any of the company-specific risk be diversified away by investing in both Modernland Realty and Summarecon Agung 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 Summarecon Agung 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 Summarecon Agung Tbk, you can compare the effects of market volatilities on Modernland Realty and Summarecon Agung 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 Summarecon Agung. Check out your portfolio center. Please also check ongoing floating volatility patterns of Modernland Realty and Summarecon Agung.

Diversification Opportunities for Modernland Realty and Summarecon Agung

-0.26

Correlation Coefficient

Modernland Realty  Summarecon Agung

Very good diversification

The 3 months correlation between Modernland and Summarecon is -0.26. Overlapping area represents the amount of risk that can be diversified away by holding Modernland Realty Ltd and Summarecon Agung Tbk in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Summarecon Agung 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 Summarecon Agung. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Summarecon Agung Tbk has no effect on the direction of Modernland Realty i.e., Modernland Realty and Summarecon Agung go up and down completely randomly.

Pair Corralation between Modernland Realty and Summarecon Agung

Assuming the 90 days trading horizon Modernland Realty Ltd is expected to generate 1.39 times more return on investment than Summarecon Agung. However, Modernland Realty is 1.39 times more volatile than Summarecon Agung Tbk. It trades about 0.04 of its potential returns per unit of risk. Summarecon Agung Tbk is currently generating about -0.06 per unit of risk. If you would invest  5,000  in Modernland Realty Ltd on August 31, 2024 and sell it today you would earn a total of  200.00  from holding Modernland Realty Ltd or generate 4.0% return on investment over 90 days.

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

Modernland Realty Ltd  vs.  Summarecon Agung Tbk

Modernland Realty

Risk-Adjusted Performance

2 of 100

Weak

Compared to the overall equity markets, risk-adjusted returns on investments in Modernland Realty Ltd are ranked lower than 2 (%) of all global equities and portfolios over the last 90 days. Despite quite conflicting forward-looking signals, Modernland Realty may actually be approaching a critical reversion point that can send shares even higher in December 2024.

Summarecon Agung Tbk

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Summarecon Agung Tbk has generated negative risk-adjusted returns adding no value to investors with long positions. Despite latest conflicting performance, the Stock's forward-looking signals remain persistent and the latest mess on Wall Street may also be a sign of long-standing gains for the company institutional investors.

Pair Trading with Modernland Realty and Summarecon Agung

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

The idea behind Modernland Realty Ltd and Summarecon Agung 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 Price Ceiling Movement module to calculate and plot Price Ceiling Movement for different equity instruments.