Correlation Between Japan Tobacco and PT Hanjaya
Can any of the company-specific risk be diversified away by investing in both Japan Tobacco and PT Hanjaya 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 Japan Tobacco and PT Hanjaya into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Japan Tobacco and PT Hanjaya Mandala, you can compare the effects of market volatilities on Japan Tobacco and PT Hanjaya 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 Japan Tobacco with a short position of PT Hanjaya. Check out your portfolio center. Please also check ongoing floating volatility patterns of Japan Tobacco and PT Hanjaya.
Diversification Opportunities for Japan Tobacco and PT Hanjaya
-0.36 | Correlation Coefficient |
Very good diversification
The 3 months correlation between Japan and PHJMF is -0.36. Overlapping area represents the amount of risk that can be diversified away by holding Japan Tobacco and PT Hanjaya Mandala in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on PT Hanjaya Mandala and Japan Tobacco 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 Japan Tobacco are associated (or correlated) with PT Hanjaya. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of PT Hanjaya Mandala has no effect on the direction of Japan Tobacco i.e., Japan Tobacco and PT Hanjaya go up and down completely randomly.
Pair Corralation between Japan Tobacco and PT Hanjaya
Assuming the 90 days horizon Japan Tobacco is expected to under-perform the PT Hanjaya. But the pink sheet apears to be less risky and, when comparing its historical volatility, Japan Tobacco is 2.28 times less risky than PT Hanjaya. The pink sheet trades about -0.1 of its potential returns per unit of risk. The PT Hanjaya Mandala is currently generating about 0.15 of returns per unit of risk over similar time horizon. If you would invest 3.35 in PT Hanjaya Mandala on November 3, 2024 and sell it today you would earn a total of 0.65 from holding PT Hanjaya Mandala or generate 19.4% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Insignificant |
| Accuracy | 90.48% |
| Values | Daily Returns |
Japan Tobacco vs. PT Hanjaya Mandala
Performance |
| Timeline |
| Japan Tobacco |
| PT Hanjaya Mandala |
Japan Tobacco and PT Hanjaya Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Japan Tobacco and PT Hanjaya
The main advantage of trading using opposite Japan Tobacco and PT Hanjaya positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Japan Tobacco position performs unexpectedly, PT Hanjaya 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 PT Hanjaya will offset losses from the drop in PT Hanjaya's long position.| Japan Tobacco vs. Imperial Brands PLC | Japan Tobacco vs. British American Tobacco | Japan Tobacco vs. Turning Point Brands | Japan Tobacco vs. Universal |
| PT Hanjaya vs. Pyxus International | PT Hanjaya vs. 22nd Century Group | PT Hanjaya vs. Greenlane Holdings | PT Hanjaya vs. Japan Tobacco |
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 Latest Portfolios module to quick portfolio dashboard that showcases your latest portfolios.
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