Correlation Between Intraco Penta and Jakarta Setiabudi
Can any of the company-specific risk be diversified away by investing in both Intraco Penta and Jakarta Setiabudi 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 Intraco Penta and Jakarta Setiabudi into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Intraco Penta Tbk and Jakarta Setiabudi Internasional, you can compare the effects of market volatilities on Intraco Penta and Jakarta Setiabudi 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 Intraco Penta with a short position of Jakarta Setiabudi. Check out your portfolio center. Please also check ongoing floating volatility patterns of Intraco Penta and Jakarta Setiabudi.
Diversification Opportunities for Intraco Penta and Jakarta Setiabudi
-0.56 | Correlation Coefficient |
Excellent diversification
The 3 months correlation between Intraco and Jakarta is -0.56. Overlapping area represents the amount of risk that can be diversified away by holding Intraco Penta Tbk and Jakarta Setiabudi Internasiona in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Jakarta Setiabudi and Intraco Penta 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 Intraco Penta Tbk are associated (or correlated) with Jakarta Setiabudi. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Jakarta Setiabudi has no effect on the direction of Intraco Penta i.e., Intraco Penta and Jakarta Setiabudi go up and down completely randomly.
Pair Corralation between Intraco Penta and Jakarta Setiabudi
Assuming the 90 days trading horizon Intraco Penta Tbk is expected to under-perform the Jakarta Setiabudi. But the stock apears to be less risky and, when comparing its historical volatility, Intraco Penta Tbk is 1.92 times less risky than Jakarta Setiabudi. The stock trades about -0.03 of its potential returns per unit of risk. The Jakarta Setiabudi Internasional is currently generating about 0.38 of returns per unit of risk over similar time horizon. If you would invest 438,000 in Jakarta Setiabudi Internasional on August 27, 2024 and sell it today you would earn a total of 559,500 from holding Jakarta Setiabudi Internasional or generate 127.74% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Very Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
Intraco Penta Tbk vs. Jakarta Setiabudi Internasiona
Performance |
| Timeline |
| Intraco Penta Tbk |
| Jakarta Setiabudi |
Intraco Penta and Jakarta Setiabudi Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Intraco Penta and Jakarta Setiabudi
The main advantage of trading using opposite Intraco Penta and Jakarta Setiabudi positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Intraco Penta position performs unexpectedly, Jakarta Setiabudi 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 Jakarta Setiabudi will offset losses from the drop in Jakarta Setiabudi's long position.The idea behind Intraco Penta Tbk and Jakarta Setiabudi Internasional pairs trading is to make the combined position market-neutral, meaning the overall market's direction will not affect its win or loss (or potential downside or upside). This can be achieved by designing a pairs trade with two highly correlated stocks or equities that operate in a similar space or sector, making it possible to obtain profits through simple and relatively low-risk investment.| Jakarta Setiabudi vs. Jasuindo Tiga Perkasa | Jakarta Setiabudi vs. Jakarta Int Hotels | Jakarta Setiabudi vs. Inter Delta Tbk | Jakarta Setiabudi vs. Pudjiadi Sons 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.
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