Correlation Between Astra Otoparts and Sepatu Bata
Can any of the company-specific risk be diversified away by investing in both Astra Otoparts and Sepatu Bata 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 Otoparts and Sepatu Bata into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Astra Otoparts Tbk and Sepatu Bata Tbk, you can compare the effects of market volatilities on Astra Otoparts and Sepatu Bata 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 Otoparts with a short position of Sepatu Bata. Check out your portfolio center. Please also check ongoing floating volatility patterns of Astra Otoparts and Sepatu Bata.
Diversification Opportunities for Astra Otoparts and Sepatu Bata
-0.52 | Correlation Coefficient |
Excellent diversification
The 3 months correlation between Astra and Sepatu is -0.52. Overlapping area represents the amount of risk that can be diversified away by holding Astra Otoparts Tbk and Sepatu Bata Tbk in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Sepatu Bata Tbk and Astra Otoparts 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 Otoparts Tbk are associated (or correlated) with Sepatu Bata. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Sepatu Bata Tbk has no effect on the direction of Astra Otoparts i.e., Astra Otoparts and Sepatu Bata go up and down completely randomly.
Pair Corralation between Astra Otoparts and Sepatu Bata
Assuming the 90 days trading horizon Astra Otoparts Tbk is expected to generate 0.8 times more return on investment than Sepatu Bata. However, Astra Otoparts Tbk is 1.26 times less risky than Sepatu Bata. It trades about -0.26 of its potential returns per unit of risk. Sepatu Bata Tbk is currently generating about -0.3 per unit of risk. If you would invest 255,000 in Astra Otoparts Tbk on August 29, 2024 and sell it today you would lose (23,000) from holding Astra Otoparts Tbk or give up 9.02% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Very Weak |
| Accuracy | 95.65% |
| Values | Daily Returns |
Astra Otoparts Tbk vs. Sepatu Bata Tbk
Performance |
| Timeline |
| Astra Otoparts Tbk |
| Sepatu Bata Tbk |
Astra Otoparts and Sepatu Bata Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Astra Otoparts and Sepatu Bata
The main advantage of trading using opposite Astra Otoparts and Sepatu Bata positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Astra Otoparts position performs unexpectedly, Sepatu Bata 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 Sepatu Bata will offset losses from the drop in Sepatu Bata's long position.| Astra Otoparts vs. Gajah Tunggal Tbk | Astra Otoparts vs. Astra Graphia Tbk | Astra Otoparts vs. Indomobil Sukses Internasional | Astra Otoparts vs. Astra Agro Lestari |
| Sepatu Bata vs. Indo Kordsa Tbk | Sepatu Bata vs. Goodyear Indonesia Tbk | Sepatu Bata vs. Argo Pantes Tbk | Sepatu Bata vs. Primarindo Asia Infrastructure |
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 Analyzer module to analyze all characteristics, volatility and risk-adjusted return of Macroaxis ideas.
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