Correlation Between Sumber Tani and Transkon Jaya

Can any of the company-specific risk be diversified away by investing in both Sumber Tani and Transkon Jaya 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 Sumber Tani and Transkon Jaya into the same portfolio, which is an essential part of the fundamental portfolio management process.

By analyzing existing cross correlation between Sumber Tani Agung and Transkon Jaya Pt, you can compare the effects of market volatilities on Sumber Tani and Transkon Jaya 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 Sumber Tani with a short position of Transkon Jaya. Check out your portfolio center. Please also check ongoing floating volatility patterns of Sumber Tani and Transkon Jaya.

Diversification Opportunities for Sumber Tani and Transkon Jaya

0.52

Correlation Coefficient

Sumber Tani  Transkon Jaya

Very weak diversification

The 3 months correlation between Sumber and Transkon is 0.52. Overlapping area represents the amount of risk that can be diversified away by holding Sumber Tani Agung and Transkon Jaya Pt in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Transkon Jaya Pt and Sumber Tani 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 Sumber Tani Agung are associated (or correlated) with Transkon Jaya. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Transkon Jaya Pt has no effect on the direction of Sumber Tani i.e., Sumber Tani and Transkon Jaya go up and down completely randomly.

Pair Corralation between Sumber Tani and Transkon Jaya

Assuming the 90 days trading horizon Sumber Tani Agung is expected to under-perform the Transkon Jaya. In addition to that, Sumber Tani is 1.1 times more volatile than Transkon Jaya Pt. It trades about -0.13 of its total potential returns per unit of risk. Transkon Jaya Pt is currently generating about -0.11 per unit of volatility. If you would invest  19,200  in Transkon Jaya Pt on October 11, 2024 and sell it today you would lose (1,300) from holding Transkon Jaya Pt or give up 6.77% of portfolio value over 90 days.

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

Sumber Tani Agung  vs.  Transkon Jaya Pt

Sumber Tani Agung

Risk-Adjusted Performance

0 of 100

Very Weak

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

Transkon Jaya Pt

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Transkon Jaya Pt has generated negative risk-adjusted returns adding no value to investors with long positions. Despite latest conflicting performance, the Stock's forward-looking signals remain persistent and the latest mess on Wall Street may also be a sign of long-standing gains for the company institutional investors.

Pair Trading with Sumber Tani and Transkon Jaya

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

The idea behind Sumber Tani Agung and Transkon Jaya Pt 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.

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 Idea Analyzer module to analyze all characteristics, volatility and risk-adjusted return of Macroaxis ideas.