Correlation Between PT Sarimelati and Arwana Citramulia

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

By analyzing existing cross correlation between PT Sarimelati Kencana and Arwana Citramulia Tbk, you can compare the effects of market volatilities on PT Sarimelati and Arwana Citramulia 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 Sarimelati with a short position of Arwana Citramulia. Check out your portfolio center. Please also check ongoing floating volatility patterns of PT Sarimelati and Arwana Citramulia.

Diversification Opportunities for PT Sarimelati and Arwana Citramulia

-0.8

Correlation Coefficient

PT Sarimelati  Arwana Citramulia

Pay attention - limited upside

The 3 months correlation between PZZA and Arwana is -0.8. Overlapping area represents the amount of risk that can be diversified away by holding PT Sarimelati Kencana and Arwana Citramulia Tbk in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Arwana Citramulia Tbk and PT Sarimelati 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 Sarimelati Kencana are associated (or correlated) with Arwana Citramulia. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Arwana Citramulia Tbk has no effect on the direction of PT Sarimelati i.e., PT Sarimelati and Arwana Citramulia go up and down completely randomly.

Pair Corralation between PT Sarimelati and Arwana Citramulia

Assuming the 90 days trading horizon PT Sarimelati Kencana is expected to generate 3.84 times more return on investment than Arwana Citramulia. However, PT Sarimelati is 3.84 times more volatile than Arwana Citramulia Tbk. It trades about 0.07 of its potential returns per unit of risk. Arwana Citramulia Tbk is currently generating about -0.15 per unit of risk. If you would invest  12,700  in PT Sarimelati Kencana on December 1, 2024 and sell it today you would earn a total of  2,400  from holding PT Sarimelati Kencana or generate 18.9% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Against
Strength	Significant
Accuracy	98.31%
Values	Daily Returns

PT Sarimelati Kencana  vs.  Arwana Citramulia Tbk

PT Sarimelati Kencana

Risk-Adjusted Performance

Modest

Compared to the overall equity markets, risk-adjusted returns on investments in PT Sarimelati Kencana are ranked lower than 5 (%) of all global equities and portfolios over the last 90 days. Despite quite conflicting forward-looking signals, PT Sarimelati disclosed solid returns over the last few months and may actually be approaching a breakup point.

Arwana Citramulia Tbk

Risk-Adjusted Performance

Very Weak

Over the last 90 days Arwana Citramulia Tbk has generated negative risk-adjusted returns adding no value to investors with long positions. Despite conflicting performance in the last few months, the Stock's forward-looking signals remain quite persistent which may send shares a bit higher in April 2025. The latest mess may also be a sign of long-standing up-swing for the company institutional investors.

Pair Trading with PT Sarimelati and Arwana Citramulia

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

The idea behind PT Sarimelati Kencana and Arwana Citramulia 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 Portfolio Analyzer module to portfolio analysis module that provides access to portfolio diagnostics and optimization engine.