Correlation Between Elang Mahkota and Saratoga Investama

Can any of the company-specific risk be diversified away by investing in both Elang Mahkota and Saratoga Investama 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 Elang Mahkota and Saratoga Investama into the same portfolio, which is an essential part of the fundamental portfolio management process.

By analyzing existing cross correlation between Elang Mahkota Teknologi and Saratoga Investama Sedaya, you can compare the effects of market volatilities on Elang Mahkota and Saratoga Investama 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 Elang Mahkota with a short position of Saratoga Investama. Check out your portfolio center. Please also check ongoing floating volatility patterns of Elang Mahkota and Saratoga Investama.

Diversification Opportunities for Elang Mahkota and Saratoga Investama

0.1

Correlation Coefficient

Elang Mahkota  Saratoga Investama

Average diversification

The 3 months correlation between Elang and Saratoga is 0.1. Overlapping area represents the amount of risk that can be diversified away by holding Elang Mahkota Teknologi and Saratoga Investama Sedaya in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Saratoga Investama Sedaya and Elang Mahkota 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 Elang Mahkota Teknologi are associated (or correlated) with Saratoga Investama. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Saratoga Investama Sedaya has no effect on the direction of Elang Mahkota i.e., Elang Mahkota and Saratoga Investama go up and down completely randomly.

Pair Corralation between Elang Mahkota and Saratoga Investama

Assuming the 90 days trading horizon Elang Mahkota Teknologi is expected to generate 0.92 times more return on investment than Saratoga Investama. However, Elang Mahkota Teknologi is 1.09 times less risky than Saratoga Investama. It trades about 0.19 of its potential returns per unit of risk. Saratoga Investama Sedaya is currently generating about 0.0 per unit of risk. If you would invest  40,600  in Elang Mahkota Teknologi on September 14, 2024 and sell it today you would earn a total of  19,900  from holding Elang Mahkota Teknologi or generate 49.01% return on investment over 90 days.

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

Elang Mahkota Teknologi  vs.  Saratoga Investama Sedaya

Elang Mahkota Teknologi

Risk-Adjusted Performance

14 of 100

Good

Compared to the overall equity markets, risk-adjusted returns on investments in Elang Mahkota Teknologi are ranked lower than 14 (%) of all global equities and portfolios over the last 90 days. Despite quite conflicting forward-looking signals, Elang Mahkota disclosed solid returns over the last few months and may actually be approaching a breakup point.

Saratoga Investama Sedaya

Risk-Adjusted Performance

0 of 100

Weak

Over the last 90 days Saratoga Investama Sedaya has generated negative risk-adjusted returns adding no value to investors with long positions. Despite quite persistent forward-looking signals, Saratoga Investama 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 Elang Mahkota and Saratoga Investama

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

The idea behind Elang Mahkota Teknologi and Saratoga Investama Sedaya 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 USA ETFs module to find actively traded Exchange Traded Funds (ETF) in USA.