Correlation Between Integra Indocabinet and Surya Toto

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

Diversification Opportunities for Integra Indocabinet and Surya Toto

0.69

Correlation Coefficient

Integra Indocabinet  Surya Toto

Poor diversification

The 3 months correlation between Integra and Surya is 0.69. Overlapping area represents the amount of risk that can be diversified away by holding Integra Indocabinet Tbk and Surya Toto Indonesia in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Surya Toto Indonesia 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 Toto. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Surya Toto Indonesia has no effect on the direction of Integra Indocabinet i.e., Integra Indocabinet and Surya Toto go up and down completely randomly.

Pair Corralation between Integra Indocabinet and Surya Toto

Assuming the 90 days trading horizon Integra Indocabinet Tbk is expected to generate 3.5 times more return on investment than Surya Toto. However, Integra Indocabinet is 3.5 times more volatile than Surya Toto Indonesia. It trades about 0.17 of its potential returns per unit of risk. Surya Toto Indonesia is currently generating about 0.09 per unit of risk. If you would invest  24,000  in Integra Indocabinet Tbk on September 12, 2024 and sell it today you would earn a total of  11,800  from holding Integra Indocabinet Tbk or generate 49.17% return on investment over 90 days.

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

Integra Indocabinet Tbk  vs.  Surya Toto Indonesia

Integra Indocabinet Tbk

Risk-Adjusted Performance

13 of 100

Good

Compared to the overall equity markets, risk-adjusted returns on investments in Integra Indocabinet Tbk are ranked lower than 13 (%) 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.

Surya Toto Indonesia

Risk-Adjusted Performance

6 of 100

Modest

Compared to the overall equity markets, risk-adjusted returns on investments in Surya Toto Indonesia are ranked lower than 6 (%) of all global equities and portfolios over the last 90 days. Despite quite conflicting forward-looking signals, Surya Toto may actually be approaching a critical reversion point that can send shares even higher in January 2025.

Pair Trading with Integra Indocabinet and Surya Toto

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

The idea behind Integra Indocabinet Tbk and Surya Toto Indonesia 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 Analyst Advice module to analyst recommendations and target price estimates broken down by several categories.