Correlation Between Astra Agro and Bank Permata
Can any of the company-specific risk be diversified away by investing in both Astra Agro and Bank Permata 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 Astra Agro and Bank Permata into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Astra Agro Lestari and Bank Permata Tbk, you can compare the effects of market volatilities on Astra Agro and Bank Permata 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 Astra Agro with a short position of Bank Permata. Check out your portfolio center. Please also check ongoing floating volatility patterns of Astra Agro and Bank Permata.
Diversification Opportunities for Astra Agro and Bank Permata
-0.21 | Correlation Coefficient |
Very good diversification
The 3 months correlation between Astra and Bank is -0.21. Overlapping area represents the amount of risk that can be diversified away by holding Astra Agro Lestari and Bank Permata Tbk in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Bank Permata Tbk and Astra Agro 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 Astra Agro Lestari are associated (or correlated) with Bank Permata. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Bank Permata Tbk has no effect on the direction of Astra Agro i.e., Astra Agro and Bank Permata go up and down completely randomly.
Pair Corralation between Astra Agro and Bank Permata
Assuming the 90 days trading horizon Astra Agro is expected to generate 2.94 times less return on investment than Bank Permata. But when comparing it to its historical volatility, Astra Agro Lestari is 2.63 times less risky than Bank Permata. It trades about 0.03 of its potential returns per unit of risk. Bank Permata Tbk is currently generating about 0.03 of returns per unit of risk over similar time horizon. If you would invest 90,500 in Bank Permata Tbk on September 1, 2024 and sell it today you would earn a total of 7,000 from holding Bank Permata Tbk or generate 7.73% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Insignificant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Astra Agro Lestari vs. Bank Permata Tbk
Performance |
| Timeline |
| Astra Agro Lestari |
| Bank Permata Tbk |
Astra Agro and Bank Permata Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Astra Agro and Bank Permata
The main advantage of trading using opposite Astra Agro and Bank Permata positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Astra Agro position performs unexpectedly, Bank Permata 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 Bank Permata will offset losses from the drop in Bank Permata's long position.| Astra Agro vs. Perusahaan Perkebunan London | Astra Agro vs. United Tractors Tbk | Astra Agro vs. Vale Indonesia Tbk | Astra Agro vs. Astra International Tbk |
| Bank Permata vs. Bank Cimb Niaga | Bank Permata vs. Bank Maybank Indonesia | Bank Permata vs. Bank Danamon Indonesia | Bank Permata vs. Bank Pan Indonesia |
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 Price Transformation module to use Price Transformation models to analyze the depth of different equity instruments across global markets.
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