Correlation Between PT Astra and DNA Brands
Can any of the company-specific risk be diversified away by investing in both PT Astra and DNA Brands 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 PT Astra and DNA Brands into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between PT Astra International and DNA Brands, you can compare the effects of market volatilities on PT Astra and DNA Brands 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 PT Astra with a short position of DNA Brands. Check out your portfolio center. Please also check ongoing floating volatility patterns of PT Astra and DNA Brands.
Diversification Opportunities for PT Astra and DNA Brands
0.09 | Correlation Coefficient |
Significant diversification
The 3 months correlation between ASII and DNA is 0.09. Overlapping area represents the amount of risk that can be diversified away by holding PT Astra International and DNA Brands in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on DNA Brands and PT Astra 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 PT Astra International are associated (or correlated) with DNA Brands. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of DNA Brands has no effect on the direction of PT Astra i.e., PT Astra and DNA Brands go up and down completely randomly.
Pair Corralation between PT Astra and DNA Brands
Given the investment horizon of 90 days PT Astra is expected to generate 1.32 times less return on investment than DNA Brands. But when comparing it to its historical volatility, PT Astra International is 1.9 times less risky than DNA Brands. It trades about 0.15 of its potential returns per unit of risk. DNA Brands is currently generating about 0.11 of returns per unit of risk over similar time horizon. If you would invest 0.02 in DNA Brands on August 28, 2024 and sell it today you would lose (0.01) from holding DNA Brands or give up 50.0% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Insignificant |
| Accuracy | 100.0% |
| Values | Daily Returns |
PT Astra International vs. DNA Brands
Performance |
| Timeline |
| PT Astra International |
| DNA Brands |
PT Astra and DNA Brands Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with PT Astra and DNA Brands
The main advantage of trading using opposite PT Astra and DNA Brands positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if PT Astra position performs unexpectedly, DNA Brands 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 DNA Brands will offset losses from the drop in DNA Brands' long position.| PT Astra vs. Embotelladora Andina SA | PT Astra vs. Embotelladora Andina SA | PT Astra vs. Apple Rush | PT Astra vs. Alkame Holdings |
| DNA Brands vs. Embotelladora Andina SA | DNA Brands vs. Signet International Holdings | DNA Brands vs. National Beverage Corp | DNA Brands vs. PT Astra International |
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 Watchlist Optimization module to optimize watchlists to build efficient portfolios or rebalance existing positions based on the mean-variance optimization algorithm.
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