Correlation Between Integra Indocabinet and Surya Permata

Can any of the company-specific risk be diversified away by investing in both Integra Indocabinet and Surya Permata 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 Surya Permata 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 Surya Permata Andalan, you can compare the effects of market volatilities on Integra Indocabinet and Surya Permata 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 Surya Permata. Check out your portfolio center. Please also check ongoing floating volatility patterns of Integra Indocabinet and Surya Permata.

Diversification Opportunities for Integra Indocabinet and Surya Permata

0.63

Correlation Coefficient

Integra Indocabinet  Surya Permata

Poor diversification

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

Pair Corralation between Integra Indocabinet and Surya Permata

Assuming the 90 days trading horizon Integra Indocabinet Tbk is expected to generate 1.58 times more return on investment than Surya Permata. However, Integra Indocabinet is 1.58 times more volatile than Surya Permata Andalan. It trades about 0.0 of its potential returns per unit of risk. Surya Permata Andalan is currently generating about -0.01 per unit of risk. 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	Significant
Accuracy	100.0%
Values	Daily Returns

Integra Indocabinet Tbk  vs.  Surya Permata Andalan

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.

Surya Permata Andalan

Risk-Adjusted Performance

Very Weak

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

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

The idea behind Integra Indocabinet Tbk and Surya Permata 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 Idea Analyzer module to analyze all characteristics, volatility and risk-adjusted return of Macroaxis ideas.