Correlation Between IDX 30 and Gunawan Dianjaya
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By analyzing existing cross correlation between IDX 30 Jakarta and Gunawan Dianjaya Steel, you can compare the effects of market volatilities on IDX 30 and Gunawan Dianjaya 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 IDX 30 with a short position of Gunawan Dianjaya. Check out your portfolio center. Please also check ongoing floating volatility patterns of IDX 30 and Gunawan Dianjaya.
Diversification Opportunities for IDX 30 and Gunawan Dianjaya
0.85 | Correlation Coefficient |
Very poor diversification
The 3 months correlation between IDX and Gunawan is 0.85. Overlapping area represents the amount of risk that can be diversified away by holding IDX 30 Jakarta and Gunawan Dianjaya Steel in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Gunawan Dianjaya Steel and IDX 30 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 IDX 30 Jakarta are associated (or correlated) with Gunawan Dianjaya. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Gunawan Dianjaya Steel has no effect on the direction of IDX 30 i.e., IDX 30 and Gunawan Dianjaya go up and down completely randomly.
Pair Corralation between IDX 30 and Gunawan Dianjaya
Assuming the 90 days trading horizon IDX 30 Jakarta is expected to generate 0.29 times more return on investment than Gunawan Dianjaya. However, IDX 30 Jakarta is 3.49 times less risky than Gunawan Dianjaya. It trades about -0.28 of its potential returns per unit of risk. Gunawan Dianjaya Steel is currently generating about -0.22 per unit of risk. If you would invest 46,945 in IDX 30 Jakarta on September 2, 2024 and sell it today you would lose (3,072) from holding IDX 30 Jakarta or give up 6.54% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
IDX 30 Jakarta vs. Gunawan Dianjaya Steel
Performance |
| Timeline |
IDX 30 and Gunawan Dianjaya Volatility Contrast
Predicted Return Density |
| Returns |
IDX 30 Jakarta
Pair trading matchups for IDX 30
Gunawan Dianjaya Steel
Pair trading matchups for Gunawan Dianjaya
Pair Trading with IDX 30 and Gunawan Dianjaya
The main advantage of trading using opposite IDX 30 and Gunawan Dianjaya positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if IDX 30 position performs unexpectedly, Gunawan Dianjaya 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 Gunawan Dianjaya will offset losses from the drop in Gunawan Dianjaya's long position.| IDX 30 vs. Ace Hardware Indonesia | IDX 30 vs. Alumindo Light Metal | IDX 30 vs. Metro Healthcare Indonesia | IDX 30 vs. PT Jobubu Jarum |
| Gunawan Dianjaya vs. Perusahaan Gas Negara | Gunawan Dianjaya vs. Telkom Indonesia Tbk | Gunawan Dianjaya vs. Mitra Pinasthika Mustika | Gunawan Dianjaya vs. Jakarta Int Hotels |
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