Correlation Between Astra International and Mustika Ratu
Can any of the company-specific risk be diversified away by investing in both Astra International and Mustika Ratu 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 International and Mustika Ratu into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Astra International Tbk and Mustika Ratu Tbk, you can compare the effects of market volatilities on Astra International and Mustika Ratu 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 International with a short position of Mustika Ratu. Check out your portfolio center. Please also check ongoing floating volatility patterns of Astra International and Mustika Ratu.
Diversification Opportunities for Astra International and Mustika Ratu
-0.08 | Correlation Coefficient |
Good diversification
The 3 months correlation between Astra and Mustika is -0.08. Overlapping area represents the amount of risk that can be diversified away by holding Astra International Tbk and Mustika Ratu Tbk in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Mustika Ratu Tbk and Astra International 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 International Tbk are associated (or correlated) with Mustika Ratu. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Mustika Ratu Tbk has no effect on the direction of Astra International i.e., Astra International and Mustika Ratu go up and down completely randomly.
Pair Corralation between Astra International and Mustika Ratu
Assuming the 90 days trading horizon Astra International Tbk is expected to generate 0.62 times more return on investment than Mustika Ratu. However, Astra International Tbk is 1.6 times less risky than Mustika Ratu. It trades about -0.08 of its potential returns per unit of risk. Mustika Ratu Tbk is currently generating about -0.28 per unit of risk. If you would invest 525,000 in Astra International Tbk on August 27, 2024 and sell it today you would lose (15,000) from holding Astra International Tbk or give up 2.86% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Insignificant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Astra International Tbk vs. Mustika Ratu Tbk
Performance |
| Timeline |
| Astra International Tbk |
| Mustika Ratu Tbk |
Astra International and Mustika Ratu Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Astra International and Mustika Ratu
The main advantage of trading using opposite Astra International and Mustika Ratu positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Astra International position performs unexpectedly, Mustika Ratu 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 Mustika Ratu will offset losses from the drop in Mustika Ratu's long position.| Astra International vs. Telkom Indonesia Tbk | Astra International vs. Bank Mandiri Persero | Astra International vs. Bank Central Asia | Astra International vs. PT Indofood Sukses |
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 Idea Breakdown module to analyze constituents of all Macroaxis ideas. Macroaxis investment ideas are predefined, sector-focused investing themes.
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