Correlation Between Surya Permata and PT Dafam

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

By analyzing existing cross correlation between Surya Permata Andalan and PT Dafam Property, you can compare the effects of market volatilities on Surya Permata and PT Dafam 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 Surya Permata with a short position of PT Dafam. Check out your portfolio center. Please also check ongoing floating volatility patterns of Surya Permata and PT Dafam.

Diversification Opportunities for Surya Permata and PT Dafam

0.15

Correlation Coefficient

Surya Permata  PT Dafam

Average diversification

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

Pair Corralation between Surya Permata and PT Dafam

Assuming the 90 days trading horizon Surya Permata Andalan is expected to generate 1.08 times more return on investment than PT Dafam. However, Surya Permata is 1.08 times more volatile than PT Dafam Property. It trades about -0.05 of its potential returns per unit of risk. PT Dafam Property is currently generating about -0.06 per unit of risk. If you would invest  15,100  in Surya Permata Andalan on September 11, 2024 and sell it today you would lose (800.00) from holding Surya Permata Andalan or give up 5.3% of portfolio value over 90 days.

Time Period	3 Months [change]
Direction	Moves Together
Strength	Insignificant
Accuracy	98.41%
Values	Daily Returns

Surya Permata Andalan  vs.  PT Dafam Property

Surya Permata Andalan

Risk-Adjusted Performance

0 of 100

Very Weak

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

PT Dafam Property

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days PT Dafam Property has generated negative risk-adjusted returns adding no value to investors with long positions. Despite quite persistent forward-looking signals, PT Dafam 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 Surya Permata and PT Dafam

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

The idea behind Surya Permata Andalan and PT Dafam Property 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 Portfolio Dashboard module to portfolio dashboard that provides centralized access to all your investments.