Correlation Between Sumber Mas and Sumber Tani

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

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

Diversification Opportunities for Sumber Mas and Sumber Tani

0.08

Correlation Coefficient

Sumber Mas  Sumber Tani

Significant diversification

The 3 months correlation between Sumber and Sumber is 0.08. Overlapping area represents the amount of risk that can be diversified away by holding Sumber Mas Konstruksi and Sumber Tani Agung in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Sumber Tani Agung and Sumber 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 Sumber Mas Konstruksi are associated (or correlated) with Sumber Tani. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Sumber Tani Agung has no effect on the direction of Sumber Mas i.e., Sumber Mas and Sumber Tani go up and down completely randomly.

Pair Corralation between Sumber Mas and Sumber Tani

Assuming the 90 days trading horizon Sumber Mas Konstruksi is expected to under-perform the Sumber Tani. In addition to that, Sumber Mas is 2.04 times more volatile than Sumber Tani Agung. It trades about -0.08 of its total potential returns per unit of risk. Sumber Tani Agung is currently generating about -0.02 per unit of volatility. If you would invest  84,000  in Sumber Tani Agung on September 19, 2024 and sell it today you would lose (2,000) from holding Sumber Tani Agung or give up 2.38% of portfolio value over 90 days.

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

Sumber Mas Konstruksi  vs.  Sumber Tani Agung

Sumber Mas Konstruksi

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Sumber Mas Konstruksi 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.

Sumber Tani Agung

Risk-Adjusted Performance

0 of 100

Very Weak

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

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

The idea behind Sumber Mas Konstruksi and Sumber Tani Agung 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 Premium Stories module to follow Macroaxis premium stories from verified contributors across different equity types, categories and coverage scope.