Correlation Between Abm Investama and Jaya Konstruksi
Can any of the company-specific risk be diversified away by investing in both Abm Investama and Jaya Konstruksi 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 Abm Investama and Jaya Konstruksi into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Abm Investama Tbk and Jaya Konstruksi Manggala, you can compare the effects of market volatilities on Abm Investama and Jaya Konstruksi 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 Abm Investama with a short position of Jaya Konstruksi. Check out your portfolio center. Please also check ongoing floating volatility patterns of Abm Investama and Jaya Konstruksi.
Diversification Opportunities for Abm Investama and Jaya Konstruksi
0.8 | Correlation Coefficient |
Very poor diversification
The 3 months correlation between Abm and Jaya is 0.8. Overlapping area represents the amount of risk that can be diversified away by holding Abm Investama Tbk and Jaya Konstruksi Manggala in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Jaya Konstruksi Manggala and Abm Investama 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 Abm Investama Tbk are associated (or correlated) with Jaya Konstruksi. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Jaya Konstruksi Manggala has no effect on the direction of Abm Investama i.e., Abm Investama and Jaya Konstruksi go up and down completely randomly.
Pair Corralation between Abm Investama and Jaya Konstruksi
Assuming the 90 days trading horizon Abm Investama Tbk is expected to generate 1.06 times more return on investment than Jaya Konstruksi. However, Abm Investama is 1.06 times more volatile than Jaya Konstruksi Manggala. It trades about -0.2 of its potential returns per unit of risk. Jaya Konstruksi Manggala is currently generating about -0.23 per unit of risk. If you would invest 392,000 in Abm Investama Tbk on August 31, 2024 and sell it today you would lose (36,000) from holding Abm Investama Tbk or give up 9.18% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
Abm Investama Tbk vs. Jaya Konstruksi Manggala
Performance |
| Timeline |
| Abm Investama Tbk |
| Jaya Konstruksi Manggala |
Abm Investama and Jaya Konstruksi Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Abm Investama and Jaya Konstruksi
The main advantage of trading using opposite Abm Investama and Jaya Konstruksi positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Abm Investama position performs unexpectedly, Jaya Konstruksi 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 Jaya Konstruksi will offset losses from the drop in Jaya Konstruksi's long position.| Abm Investama vs. Baramulti Suksessarana Tbk | Abm Investama vs. Mitrabara Adiperdana PT | Abm Investama vs. Sumber Alfaria Trijaya | Abm Investama vs. Surya Esa Perkasa |
| Jaya Konstruksi vs. Matahari Department Store | Jaya Konstruksi vs. Multi Medika Internasional | Jaya Konstruksi vs. Visi Media Asia | Jaya Konstruksi vs. Bayan Resources 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 Investing Opportunities module to build portfolios using our predefined set of ideas and optimize them against your investing preferences.
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