Correlation Between PT Bank and Sun Art

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

By analyzing existing cross correlation between PT Bank Mandiri and Sun Art Retail, you can compare the effects of market volatilities on PT Bank and Sun Art 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 PT Bank with a short position of Sun Art. Check out your portfolio center. Please also check ongoing floating volatility patterns of PT Bank and Sun Art.

Diversification Opportunities for PT Bank and Sun Art

-0.75

Correlation Coefficient

PT Bank  Sun Art

Pay attention - limited upside

The 3 months correlation between PQ9 and Sun is -0.75. Overlapping area represents the amount of risk that can be diversified away by holding PT Bank Mandiri and Sun Art Retail in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Sun Art Retail and PT Bank 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 PT Bank Mandiri are associated (or correlated) with Sun Art. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Sun Art Retail has no effect on the direction of PT Bank i.e., PT Bank and Sun Art go up and down completely randomly.

Pair Corralation between PT Bank and Sun Art

Assuming the 90 days horizon PT Bank is expected to generate 1.77 times less return on investment than Sun Art. But when comparing it to its historical volatility, PT Bank Mandiri is 1.1 times less risky than Sun Art. It trades about 0.03 of its potential returns per unit of risk. Sun Art Retail is currently generating about 0.04 of returns per unit of risk over similar time horizon. If you would invest  19.00  in Sun Art Retail on September 23, 2024 and sell it today you would earn a total of  12.00  from holding Sun Art Retail or generate 63.16% return on investment over 90 days.

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

PT Bank Mandiri  vs.  Sun Art Retail

PT Bank Mandiri

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days PT Bank Mandiri has generated negative risk-adjusted returns adding no value to investors with long positions. Despite fragile performance in the last few months, the Stock's basic indicators remain nearly stable which may send shares a bit higher in January 2025. The current disturbance may also be a sign of long-run up-swing for the company stockholders.

Sun Art Retail

Risk-Adjusted Performance

21 of 100

Solid

Compared to the overall equity markets, risk-adjusted returns on investments in Sun Art Retail are ranked lower than 21 (%) of all global equities and portfolios over the last 90 days. Despite nearly fragile basic indicators, Sun Art reported solid returns over the last few months and may actually be approaching a breakup point.

Pair Trading with PT Bank and Sun Art

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

The idea behind PT Bank Mandiri and Sun Art Retail 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 Theme Ratings module to determine theme ratings based on digital equity recommendations. Macroaxis theme ratings are based on combination of fundamental analysis and risk-adjusted market performance.