Correlation Between Sinar Mas and Sinar Mas

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

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

Diversification Opportunities for Sinar Mas and Sinar Mas

-0.37

Correlation Coefficient

Sinar Mas  Sinar Mas

Very good diversification

The 3 months correlation between Sinar and Sinar is -0.37. Overlapping area represents the amount of risk that can be diversified away by holding Sinar Mas Agro and Sinar Mas Multiartha in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Sinar Mas Multiartha and Sinar Mas 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 Sinar Mas Agro are associated (or correlated) with Sinar Mas. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Sinar Mas Multiartha has no effect on the direction of Sinar Mas i.e., Sinar Mas and Sinar Mas go up and down completely randomly.

Pair Corralation between Sinar Mas and Sinar Mas

Assuming the 90 days trading horizon Sinar Mas Agro is expected to under-perform the Sinar Mas. In addition to that, Sinar Mas is 6.36 times more volatile than Sinar Mas Multiartha. It trades about -0.04 of its total potential returns per unit of risk. Sinar Mas Multiartha is currently generating about -0.01 per unit of volatility. If you would invest  1,460,000  in Sinar Mas Multiartha on September 13, 2024 and sell it today you would lose (2,500) from holding Sinar Mas Multiartha or give up 0.17% of portfolio value over 90 days.

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

Sinar Mas Agro  vs.  Sinar Mas Multiartha

Sinar Mas Agro

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Sinar Mas Agro has generated negative risk-adjusted returns adding no value to investors with long positions. Despite quite persistent forward-looking signals, Sinar Mas is not utilizing all of its potentials. The latest stock price mess, may contribute to short-term losses for the institutional investors.

Sinar Mas Multiartha

Risk-Adjusted Performance

0 of 100

Very Weak

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

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

The idea behind Sinar Mas Agro and Sinar Mas Multiartha 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 Commodity Channel module to use Commodity Channel Index to analyze current equity momentum.