Correlation Between Unilever Indonesia and Siantar Top

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

By analyzing existing cross correlation between Unilever Indonesia Tbk and Siantar Top Tbk, you can compare the effects of market volatilities on Unilever Indonesia and Siantar Top 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 Unilever Indonesia with a short position of Siantar Top. Check out your portfolio center. Please also check ongoing floating volatility patterns of Unilever Indonesia and Siantar Top.

Diversification Opportunities for Unilever Indonesia and Siantar Top

-0.47

Correlation Coefficient

Unilever Indonesia  Siantar Top

Very good diversification

The 3 months correlation between Unilever and Siantar is -0.47. Overlapping area represents the amount of risk that can be diversified away by holding Unilever Indonesia Tbk and Siantar Top Tbk in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Siantar Top Tbk and Unilever Indonesia 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 Unilever Indonesia Tbk are associated (or correlated) with Siantar Top. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Siantar Top Tbk has no effect on the direction of Unilever Indonesia i.e., Unilever Indonesia and Siantar Top go up and down completely randomly.

Pair Corralation between Unilever Indonesia and Siantar Top

Assuming the 90 days trading horizon Unilever Indonesia Tbk is expected to under-perform the Siantar Top. In addition to that, Unilever Indonesia is 2.81 times more volatile than Siantar Top Tbk. It trades about -0.06 of its total potential returns per unit of risk. Siantar Top Tbk is currently generating about 0.18 per unit of volatility. If you would invest  1,012,500  in Siantar Top Tbk on February 4, 2024 and sell it today you would earn a total of  35,000  from holding Siantar Top Tbk or generate 3.46% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Against
Strength	Very Weak
Accuracy	93.75%
Values	Daily Returns

Unilever Indonesia Tbk  vs.  Siantar Top Tbk

Unilever Indonesia Tbk

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Unilever Indonesia Tbk 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 basic indicators remain quite persistent which may send shares a bit higher in June 2024. The latest mess may also be a sign of long-standing up-swing for the company institutional investors.

Siantar Top Tbk

Risk-Adjusted Performance

6 of 100

Modest

Compared to the overall equity markets, risk-adjusted returns on investments in Siantar Top Tbk are ranked lower than 6 (%) of all global equities and portfolios over the last 90 days. Despite quite conflicting basic indicators, Siantar Top disclosed solid returns over the last few months and may actually be approaching a breakup point.

Pair Trading with Unilever Indonesia and Siantar Top

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

The idea behind Unilever Indonesia Tbk and Siantar Top 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.

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 Piotroski F Score module to get Piotroski F Score based on the binary analysis strategy of nine different fundamentals.