Correlation Between Integra Indocabinet and Sumber Energi

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

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

Diversification Opportunities for Integra Indocabinet and Sumber Energi

-0.63

Correlation Coefficient

Integra Indocabinet  Sumber Energi

Excellent diversification

The 3 months correlation between Integra and Sumber is -0.63. Overlapping area represents the amount of risk that can be diversified away by holding Integra Indocabinet Tbk and Sumber Energi Andalan in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Sumber Energi Andalan and Integra Indocabinet 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 Integra Indocabinet Tbk are associated (or correlated) with Sumber Energi. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Sumber Energi Andalan has no effect on the direction of Integra Indocabinet i.e., Integra Indocabinet and Sumber Energi go up and down completely randomly.

Pair Corralation between Integra Indocabinet and Sumber Energi

Assuming the 90 days trading horizon Integra Indocabinet Tbk is expected to under-perform the Sumber Energi. But the stock apears to be less risky and, when comparing its historical volatility, Integra Indocabinet Tbk is 1.48 times less risky than Sumber Energi. The stock trades about -0.14 of its potential returns per unit of risk. The Sumber Energi Andalan is currently generating about 0.07 of returns per unit of risk over similar time horizon. If you would invest  76,000  in Sumber Energi Andalan on October 7, 2024 and sell it today you would earn a total of  3,000  from holding Sumber Energi Andalan or generate 3.95% return on investment over 90 days.

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

Integra Indocabinet Tbk  vs.  Sumber Energi Andalan

Integra Indocabinet Tbk

Risk-Adjusted Performance

7 of 100

OK

Compared to the overall equity markets, risk-adjusted returns on investments in Integra Indocabinet Tbk are ranked lower than 7 (%) of all global equities and portfolios over the last 90 days. Despite quite conflicting forward-looking signals, Integra Indocabinet disclosed solid returns over the last few months and may actually be approaching a breakup point.

Sumber Energi Andalan

Risk-Adjusted Performance

0 of 100

Very Weak

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

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

The idea behind Integra Indocabinet Tbk and Sumber Energi Andalan 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 Equity Search module to search for actively traded equities including funds and ETFs from over 30 global markets.