Correlation Between Alfa Energi and Perusahaan Gas
Can any of the company-specific risk be diversified away by investing in both Alfa Energi and Perusahaan Gas 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 Alfa Energi and Perusahaan Gas into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Alfa Energi Investama and Perusahaan Gas Negara, you can compare the effects of market volatilities on Alfa Energi and Perusahaan Gas 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 Alfa Energi with a short position of Perusahaan Gas. Check out your portfolio center. Please also check ongoing floating volatility patterns of Alfa Energi and Perusahaan Gas.
Diversification Opportunities for Alfa Energi and Perusahaan Gas
-0.38 | Correlation Coefficient |
Very good diversification
The 3 months correlation between Alfa and Perusahaan is -0.38. Overlapping area represents the amount of risk that can be diversified away by holding Alfa Energi Investama and Perusahaan Gas Negara in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Perusahaan Gas Negara and Alfa Energi 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 Alfa Energi Investama are associated (or correlated) with Perusahaan Gas. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Perusahaan Gas Negara has no effect on the direction of Alfa Energi i.e., Alfa Energi and Perusahaan Gas go up and down completely randomly.
Pair Corralation between Alfa Energi and Perusahaan Gas
Assuming the 90 days trading horizon Alfa Energi Investama is expected to under-perform the Perusahaan Gas. But the stock apears to be less risky and, when comparing its historical volatility, Alfa Energi Investama is 1.19 times less risky than Perusahaan Gas. The stock trades about -0.05 of its potential returns per unit of risk. The Perusahaan Gas Negara is currently generating about 0.01 of returns per unit of risk over similar time horizon. If you would invest 161,000 in Perusahaan Gas Negara on November 3, 2024 and sell it today you would lose (500.00) from holding Perusahaan Gas Negara or give up 0.31% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Insignificant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Alfa Energi Investama vs. Perusahaan Gas Negara
Performance |
| Timeline |
| Alfa Energi Investama |
| Perusahaan Gas Negara |
Alfa Energi and Perusahaan Gas Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Alfa Energi and Perusahaan Gas
The main advantage of trading using opposite Alfa Energi and Perusahaan Gas positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Alfa Energi position performs unexpectedly, Perusahaan Gas 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 Perusahaan Gas will offset losses from the drop in Perusahaan Gas' long position.| Alfa Energi vs. Borneo Olah Sarana | Alfa Energi vs. Kapuas Prima Coal | Alfa Energi vs. Central Omega Resources | Alfa Energi vs. Buana Listya Tama |
| Perusahaan Gas vs. Aneka Tambang Persero | Perusahaan Gas vs. Bukit Asam Tbk | Perusahaan Gas vs. Telkom Indonesia Tbk | Perusahaan Gas vs. Astra International 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 Performance Analysis module to check effects of mean-variance optimization against your current asset allocation.
Other Complementary Tools
| Economic Indicators Top statistical indicators that provide insights into how an economy is performing | |
| Aroon Oscillator Analyze current equity momentum using Aroon Oscillator and other momentum ratios | |
| Price Transformation Use Price Transformation models to analyze the depth of different equity instruments across global markets | |
| Pattern Recognition Use different Pattern Recognition models to time the market across multiple global exchanges | |
| Idea Breakdown Analyze constituents of all Macroaxis ideas. Macroaxis investment ideas are predefined, sector-focused investing themes |