Correlation Between Gajah Tunggal and Surya Semesta

Can any of the company-specific risk be diversified away by investing in both Gajah Tunggal and Surya Semesta 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 Gajah Tunggal and Surya Semesta into the same portfolio, which is an essential part of the fundamental portfolio management process.

By analyzing existing cross correlation between Gajah Tunggal Tbk and Surya Semesta Internusa, you can compare the effects of market volatilities on Gajah Tunggal and Surya Semesta 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 Gajah Tunggal with a short position of Surya Semesta. Check out your portfolio center. Please also check ongoing floating volatility patterns of Gajah Tunggal and Surya Semesta.

Diversification Opportunities for Gajah Tunggal and Surya Semesta

0.78

Correlation Coefficient

Gajah Tunggal  Surya Semesta

Poor diversification

The 3 months correlation between Gajah and Surya is 0.78. Overlapping area represents the amount of risk that can be diversified away by holding Gajah Tunggal Tbk and Surya Semesta Internusa in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Surya Semesta Internusa and Gajah Tunggal 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 Gajah Tunggal Tbk are associated (or correlated) with Surya Semesta. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Surya Semesta Internusa has no effect on the direction of Gajah Tunggal i.e., Gajah Tunggal and Surya Semesta go up and down completely randomly.

Pair Corralation between Gajah Tunggal and Surya Semesta

Assuming the 90 days trading horizon Gajah Tunggal Tbk is expected to under-perform the Surya Semesta. But the stock apears to be less risky and, when comparing its historical volatility, Gajah Tunggal Tbk is 1.28 times less risky than Surya Semesta. The stock trades about -0.07 of its potential returns per unit of risk. The Surya Semesta Internusa is currently generating about -0.03 of returns per unit of risk over similar time horizon. If you would invest  102,500  in Surya Semesta Internusa on September 18, 2024 and sell it today you would lose (2,500) from holding Surya Semesta Internusa or give up 2.44% of portfolio value over 90 days.

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

Gajah Tunggal Tbk  vs.  Surya Semesta Internusa

Gajah Tunggal Tbk

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Gajah Tunggal Tbk 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.

Surya Semesta Internusa

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Surya Semesta Internusa has generated negative risk-adjusted returns adding no value to investors with long positions. Despite conflicting performance in the last few months, the Stock's forward-looking signals remain quite persistent which may send shares a bit higher in January 2025. The latest mess may also be a sign of long-standing up-swing for the company institutional investors.

Pair Trading with Gajah Tunggal and Surya Semesta

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

The idea behind Gajah Tunggal Tbk and Surya Semesta Internusa 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 Portfolio Optimization module to compute new portfolio that will generate highest expected return given your specified tolerance for risk.