Correlation Between Mitra Pinasthika and Sampoerna Agro

Can any of the company-specific risk be diversified away by investing in both Mitra Pinasthika and Sampoerna Agro 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 Mitra Pinasthika and Sampoerna Agro into the same portfolio, which is an essential part of the fundamental portfolio management process.

By analyzing existing cross correlation between Mitra Pinasthika Mustika and Sampoerna Agro Tbk, you can compare the effects of market volatilities on Mitra Pinasthika and Sampoerna Agro 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 Mitra Pinasthika with a short position of Sampoerna Agro. Check out your portfolio center. Please also check ongoing floating volatility patterns of Mitra Pinasthika and Sampoerna Agro.

Diversification Opportunities for Mitra Pinasthika and Sampoerna Agro

0.15

Correlation Coefficient

Mitra Pinasthika  Sampoerna Agro

Average diversification

The 3 months correlation between Mitra and Sampoerna is 0.15. Overlapping area represents the amount of risk that can be diversified away by holding Mitra Pinasthika Mustika and Sampoerna Agro Tbk in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Sampoerna Agro Tbk and Mitra Pinasthika 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 Mitra Pinasthika Mustika are associated (or correlated) with Sampoerna Agro. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Sampoerna Agro Tbk has no effect on the direction of Mitra Pinasthika i.e., Mitra Pinasthika and Sampoerna Agro go up and down completely randomly.

Pair Corralation between Mitra Pinasthika and Sampoerna Agro

Assuming the 90 days trading horizon Mitra Pinasthika Mustika is expected to under-perform the Sampoerna Agro. But the stock apears to be less risky and, when comparing its historical volatility, Mitra Pinasthika Mustika is 1.77 times less risky than Sampoerna Agro. The stock trades about -0.11 of its potential returns per unit of risk. The Sampoerna Agro Tbk is currently generating about 0.05 of returns per unit of risk over similar time horizon. If you would invest  199,500  in Sampoerna Agro Tbk on August 31, 2024 and sell it today you would earn a total of  5,500  from holding Sampoerna Agro Tbk or generate 2.76% return on investment over 90 days.

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

Mitra Pinasthika Mustika  vs.  Sampoerna Agro Tbk

Mitra Pinasthika Mustika

Risk-Adjusted Performance

0 of 100

Very Weak

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

Sampoerna Agro Tbk

Risk-Adjusted Performance

3 of 100

Insignificant

Compared to the overall equity markets, risk-adjusted returns on investments in Sampoerna Agro Tbk are ranked lower than 3 (%) of all global equities and portfolios over the last 90 days. Despite quite persistent forward-looking signals, Sampoerna Agro is not utilizing all of its potentials. The latest stock price mess, may contribute to short-term losses for the institutional investors.

Pair Trading with Mitra Pinasthika and Sampoerna Agro

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

The idea behind Mitra Pinasthika Mustika and Sampoerna Agro 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 Investing Opportunities module to build portfolios using our predefined set of ideas and optimize them against your investing preferences.