Correlation Between Bakrie Sumatera and Gozco Plantations
Can any of the company-specific risk be diversified away by investing in both Bakrie Sumatera and Gozco Plantations 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 Bakrie Sumatera and Gozco Plantations into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Bakrie Sumatera Plantations and Gozco Plantations Tbk, you can compare the effects of market volatilities on Bakrie Sumatera and Gozco Plantations 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 Bakrie Sumatera with a short position of Gozco Plantations. Check out your portfolio center. Please also check ongoing floating volatility patterns of Bakrie Sumatera and Gozco Plantations.
Diversification Opportunities for Bakrie Sumatera and Gozco Plantations
0.8 | Correlation Coefficient |
Very poor diversification
The 3 months correlation between Bakrie and Gozco is 0.8. Overlapping area represents the amount of risk that can be diversified away by holding Bakrie Sumatera Plantations and Gozco Plantations Tbk in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Gozco Plantations Tbk and Bakrie Sumatera 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 Bakrie Sumatera Plantations are associated (or correlated) with Gozco Plantations. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Gozco Plantations Tbk has no effect on the direction of Bakrie Sumatera i.e., Bakrie Sumatera and Gozco Plantations go up and down completely randomly.
Pair Corralation between Bakrie Sumatera and Gozco Plantations
Assuming the 90 days trading horizon Bakrie Sumatera Plantations is expected to generate 1.15 times more return on investment than Gozco Plantations. However, Bakrie Sumatera is 1.15 times more volatile than Gozco Plantations Tbk. It trades about 0.19 of its potential returns per unit of risk. Gozco Plantations Tbk is currently generating about 0.08 per unit of risk. If you would invest 8,400 in Bakrie Sumatera Plantations on September 18, 2024 and sell it today you would earn a total of 2,900 from holding Bakrie Sumatera Plantations or generate 34.52% return on investment over 90 days.
Time Period | 3 Months [change] |
Direction | Moves Together |
Strength | Strong |
Accuracy | 98.44% |
Values | Daily Returns |
Bakrie Sumatera Plantations vs. Gozco Plantations Tbk
Performance |
Timeline |
Bakrie Sumatera Plan |
Gozco Plantations Tbk |
Bakrie Sumatera and Gozco Plantations Volatility Contrast
Predicted Return Density |
Returns |
Pair Trading with Bakrie Sumatera and Gozco Plantations
The main advantage of trading using opposite Bakrie Sumatera and Gozco Plantations positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Bakrie Sumatera position performs unexpectedly, Gozco Plantations 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 Gozco Plantations will offset losses from the drop in Gozco Plantations' long position.Bakrie Sumatera vs. Bakrieland Development Tbk | Bakrie Sumatera vs. Bakrie Brothers Tbk | Bakrie Sumatera vs. Energi Mega Persada | Bakrie Sumatera vs. Sampoerna Agro Tbk |
Gozco Plantations vs. Sampoerna Agro Tbk | Gozco Plantations vs. Tunas Baru Lampung | Gozco Plantations vs. Bakrie Sumatera Plantations | Gozco Plantations vs. Bisi International Tbk |
Check out your portfolio center.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 Global Markets Map module to get a quick overview of global market snapshot using zoomable world map. Drill down to check world indexes.
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