Correlation Between Sido Muncul and Integra Indocabinet

Can any of the company-specific risk be diversified away by investing in both Sido Muncul and Integra Indocabinet 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 Sido Muncul and Integra Indocabinet into the same portfolio, which is an essential part of the fundamental portfolio management process.

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

Diversification Opportunities for Sido Muncul and Integra Indocabinet

0.15

Correlation Coefficient

Sido Muncul  Integra Indocabinet

Average diversification

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

Pair Corralation between Sido Muncul and Integra Indocabinet

Assuming the 90 days trading horizon Sido Muncul PT is expected to under-perform the Integra Indocabinet. But the stock apears to be less risky and, when comparing its historical volatility, Sido Muncul PT is 1.65 times less risky than Integra Indocabinet. The stock trades about -0.04 of its potential returns per unit of risk. The Integra Indocabinet Tbk is currently generating about 0.0 of returns per unit of risk over similar time horizon. If you would invest  32,800  in Integra Indocabinet Tbk on December 30, 2024 and sell it today you would lose (1,200) from holding Integra Indocabinet Tbk or give up 3.66% of portfolio value over 90 days.

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

Sido Muncul PT  vs.  Integra Indocabinet Tbk

Sido Muncul PT

Risk-Adjusted Performance

Very Weak

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

Integra Indocabinet Tbk

Risk-Adjusted Performance

Very Weak

Over the last 90 days Integra Indocabinet Tbk has generated negative risk-adjusted returns adding no value to investors with long positions. Despite quite persistent forward-looking signals, Integra Indocabinet 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 Sido Muncul and Integra Indocabinet

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

The idea behind Sido Muncul PT and Integra Indocabinet 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 Idea Breakdown module to analyze constituents of all Macroaxis ideas. Macroaxis investment ideas are predefined, sector-focused investing themes.