Correlation Between Sawit Sumbermas and Matahari Department

Can any of the company-specific risk be diversified away by investing in both Sawit Sumbermas and Matahari Department 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 Sawit Sumbermas and Matahari Department into the same portfolio, which is an essential part of the fundamental portfolio management process.

By analyzing existing cross correlation between Sawit Sumbermas Sarana and Matahari Department Store, you can compare the effects of market volatilities on Sawit Sumbermas and Matahari Department 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 Sawit Sumbermas with a short position of Matahari Department. Check out your portfolio center. Please also check ongoing floating volatility patterns of Sawit Sumbermas and Matahari Department.

Diversification Opportunities for Sawit Sumbermas and Matahari Department

0.61

Correlation Coefficient

Sawit Sumbermas  Matahari Department

Poor diversification

The 3 months correlation between Sawit and Matahari is 0.61. Overlapping area represents the amount of risk that can be diversified away by holding Sawit Sumbermas Sarana and Matahari Department Store in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Matahari Department Store and Sawit Sumbermas 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 Sawit Sumbermas Sarana are associated (or correlated) with Matahari Department. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Matahari Department Store has no effect on the direction of Sawit Sumbermas i.e., Sawit Sumbermas and Matahari Department go up and down completely randomly.

Pair Corralation between Sawit Sumbermas and Matahari Department

Assuming the 90 days trading horizon Sawit Sumbermas Sarana is expected to generate 4.57 times more return on investment than Matahari Department. However, Sawit Sumbermas is 4.57 times more volatile than Matahari Department Store. It trades about 0.08 of its potential returns per unit of risk. Matahari Department Store is currently generating about -0.06 per unit of risk. If you would invest  116,500  in Sawit Sumbermas Sarana on October 27, 2024 and sell it today you would earn a total of  23,500  from holding Sawit Sumbermas Sarana or generate 20.17% return on investment over 90 days.

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

Sawit Sumbermas Sarana  vs.  Matahari Department Store

Sawit Sumbermas Sarana

Risk-Adjusted Performance

6 of 100

Modest

Compared to the overall equity markets, risk-adjusted returns on investments in Sawit Sumbermas Sarana are ranked lower than 6 (%) of all global equities and portfolios over the last 90 days. Despite quite weak forward-looking signals, Sawit Sumbermas disclosed solid returns over the last few months and may actually be approaching a breakup point.

Matahari Department Store

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Matahari Department Store has generated negative risk-adjusted returns adding no value to investors with long positions. Despite quite persistent forward-looking signals, Matahari Department 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 Sawit Sumbermas and Matahari Department

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

The idea behind Sawit Sumbermas Sarana and Matahari Department Store 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 Stock Screener module to find equities using a custom stock filter or screen asymmetry in trading patterns, price, volume, or investment outlook..