Correlation Between Gudang Garam and Hanjaya Mandala
Can any of the company-specific risk be diversified away by investing in both Gudang Garam and Hanjaya Mandala 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 Gudang Garam and Hanjaya Mandala into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Gudang Garam Tbk and Hanjaya Mandala Sampoerna, you can compare the effects of market volatilities on Gudang Garam and Hanjaya Mandala 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 Gudang Garam with a short position of Hanjaya Mandala. Check out your portfolio center. Please also check ongoing floating volatility patterns of Gudang Garam and Hanjaya Mandala.
Diversification Opportunities for Gudang Garam and Hanjaya Mandala
0.86 | Correlation Coefficient |
Very poor diversification
The 3 months correlation between Gudang and Hanjaya is 0.86. Overlapping area represents the amount of risk that can be diversified away by holding Gudang Garam Tbk and Hanjaya Mandala Sampoerna in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Hanjaya Mandala Sampoerna and Gudang Garam 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 Gudang Garam Tbk are associated (or correlated) with Hanjaya Mandala. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Hanjaya Mandala Sampoerna has no effect on the direction of Gudang Garam i.e., Gudang Garam and Hanjaya Mandala go up and down completely randomly.
Pair Corralation between Gudang Garam and Hanjaya Mandala
Assuming the 90 days trading horizon Gudang Garam Tbk is expected to under-perform the Hanjaya Mandala. In addition to that, Gudang Garam is 1.15 times more volatile than Hanjaya Mandala Sampoerna. It trades about -0.32 of its total potential returns per unit of risk. Hanjaya Mandala Sampoerna is currently generating about -0.24 per unit of volatility. If you would invest 69,000 in Hanjaya Mandala Sampoerna on August 31, 2024 and sell it today you would lose (4,000) from holding Hanjaya Mandala Sampoerna or give up 5.8% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
Gudang Garam Tbk vs. Hanjaya Mandala Sampoerna
Performance |
| Timeline |
| Gudang Garam Tbk |
| Hanjaya Mandala Sampoerna |
Gudang Garam and Hanjaya Mandala Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Gudang Garam and Hanjaya Mandala
The main advantage of trading using opposite Gudang Garam and Hanjaya Mandala positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Gudang Garam position performs unexpectedly, Hanjaya Mandala 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 Hanjaya Mandala will offset losses from the drop in Hanjaya Mandala's long position.| Gudang Garam vs. Indofood Cbp Sukses | Gudang Garam vs. Bank BRISyariah Tbk | Gudang Garam vs. Mitra Pinasthika Mustika | Gudang Garam vs. Jakarta Int Hotels |
| Hanjaya Mandala vs. Indofood Cbp Sukses | Hanjaya Mandala vs. Bank BRISyariah Tbk | Hanjaya Mandala vs. Mitra Pinasthika Mustika | Hanjaya Mandala vs. Jakarta Int Hotels |
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 Risk-Return Analysis module to view associations between returns expected from investment and the risk you assume.
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