Correlation Between Perusahaan Perkebunan and Sampoerna Agro

Can any of the company-specific risk be diversified away by investing in both Perusahaan Perkebunan and Sampoerna Agro 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 Perusahaan Perkebunan and Sampoerna Agro into the same portfolio, which is an essential part of the fundamental portfolio management process.

By analyzing existing cross correlation between Perusahaan Perkebunan London and Sampoerna Agro Tbk, you can compare the effects of market volatilities on Perusahaan Perkebunan and Sampoerna Agro 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 Perusahaan Perkebunan with a short position of Sampoerna Agro. Check out your portfolio center. Please also check ongoing floating volatility patterns of Perusahaan Perkebunan and Sampoerna Agro.

Diversification Opportunities for Perusahaan Perkebunan and Sampoerna Agro

0.66

Correlation Coefficient

Perusahaan Perkebunan  Sampoerna Agro

Poor diversification

The 3 months correlation between Perusahaan and Sampoerna is 0.66. Overlapping area represents the amount of risk that can be diversified away by holding Perusahaan Perkebunan London and Sampoerna Agro Tbk in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Sampoerna Agro Tbk and Perusahaan Perkebunan 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 Perusahaan Perkebunan London are associated (or correlated) with Sampoerna Agro. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Sampoerna Agro Tbk has no effect on the direction of Perusahaan Perkebunan i.e., Perusahaan Perkebunan and Sampoerna Agro go up and down completely randomly.

Pair Corralation between Perusahaan Perkebunan and Sampoerna Agro

Assuming the 90 days trading horizon Perusahaan Perkebunan London is expected to generate 2.95 times more return on investment than Sampoerna Agro. However, Perusahaan Perkebunan is 2.95 times more volatile than Sampoerna Agro Tbk. It trades about 0.11 of its potential returns per unit of risk. Sampoerna Agro Tbk is currently generating about 0.03 per unit of risk. If you would invest  95,000  in Perusahaan Perkebunan London on September 5, 2024 and sell it today you would earn a total of  17,500  from holding Perusahaan Perkebunan London or generate 18.42% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Together
Strength	Significant
Accuracy	98.41%
Values	Daily Returns

Perusahaan Perkebunan London  vs.  Sampoerna Agro Tbk

Perusahaan Perkebunan

Risk-Adjusted Performance

8 of 100

OK

Compared to the overall equity markets, risk-adjusted returns on investments in Perusahaan Perkebunan London are ranked lower than 8 (%) of all global equities and portfolios over the last 90 days. Despite quite conflicting forward-looking signals, Perusahaan Perkebunan disclosed solid returns over the last few months and may actually be approaching a breakup point.

Sampoerna Agro Tbk

Risk-Adjusted Performance

2 of 100

Weak

Compared to the overall equity markets, risk-adjusted returns on investments in Sampoerna Agro Tbk are ranked lower than 2 (%) of all global equities and portfolios over the last 90 days. Despite quite persistent forward-looking signals, Sampoerna Agro 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 Perusahaan Perkebunan and Sampoerna Agro

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

The idea behind Perusahaan Perkebunan London and Sampoerna Agro Tbk 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 Headlines Timeline module to stay connected to all market stories and filter out noise. Drill down to analyze hype elasticity.