Correlation Between Ramayana Lestari and Summarecon Agung
Can any of the company-specific risk be diversified away by investing in both Ramayana Lestari 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 Ramayana Lestari and Summarecon Agung into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Ramayana Lestari Sentosa and Summarecon Agung Tbk, you can compare the effects of market volatilities on Ramayana Lestari 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 Ramayana Lestari with a short position of Summarecon Agung. Check out your portfolio center. Please also check ongoing floating volatility patterns of Ramayana Lestari and Summarecon Agung.
Diversification Opportunities for Ramayana Lestari and Summarecon Agung
0.85 | Correlation Coefficient |
Very poor diversification
The 3 months correlation between Ramayana and Summarecon is 0.85. Overlapping area represents the amount of risk that can be diversified away by holding Ramayana Lestari Sentosa 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 Ramayana Lestari 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 Ramayana Lestari Sentosa 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 Ramayana Lestari i.e., Ramayana Lestari and Summarecon Agung go up and down completely randomly.
Pair Corralation between Ramayana Lestari and Summarecon Agung
Assuming the 90 days trading horizon Ramayana Lestari Sentosa is expected to generate 0.41 times more return on investment than Summarecon Agung. However, Ramayana Lestari Sentosa is 2.44 times less risky than Summarecon Agung. It trades about -0.06 of its potential returns per unit of risk. Summarecon Agung Tbk is currently generating about -0.15 per unit of risk. If you would invest 40,200 in Ramayana Lestari Sentosa on September 12, 2024 and sell it today you would lose (1,600) from holding Ramayana Lestari Sentosa or give up 3.98% of portfolio value over 90 days.
Time Period | 3 Months [change] |
Direction | Moves Together |
Strength | Strong |
Accuracy | 100.0% |
Values | Daily Returns |
Ramayana Lestari Sentosa vs. Summarecon Agung Tbk
Performance |
Timeline |
Ramayana Lestari Sentosa |
Summarecon Agung Tbk |
Ramayana Lestari and Summarecon Agung Volatility Contrast
Predicted Return Density |
Returns |
Pair Trading with Ramayana Lestari and Summarecon Agung
The main advantage of trading using opposite Ramayana Lestari and Summarecon Agung positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Ramayana Lestari 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.Ramayana Lestari vs. Mitra Adiperkasa Tbk | Ramayana Lestari vs. Matahari Putra Prima | Ramayana Lestari vs. Summarecon Agung Tbk | Ramayana Lestari vs. Ciputra Development Tbk |
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Check out your portfolio center.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 Aroon Oscillator module to analyze current equity momentum using Aroon Oscillator and other momentum ratios.
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