Correlation Between JAPAN TOBACCO and PT Indo
Can any of the company-specific risk be diversified away by investing in both JAPAN TOBACCO and PT Indo 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 Indo into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between JAPAN TOBACCO UNSPADR12 and PT Indo Tambangraya, you can compare the effects of market volatilities on JAPAN TOBACCO and PT Indo 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 Indo. Check out your portfolio center. Please also check ongoing floating volatility patterns of JAPAN TOBACCO and PT Indo.
Diversification Opportunities for JAPAN TOBACCO and PT Indo
0.48 | Correlation Coefficient |
Very weak diversification
The 3 months correlation between JAPAN and 3IB is 0.48. Overlapping area represents the amount of risk that can be diversified away by holding JAPAN TOBACCO UNSPADR12 and PT Indo Tambangraya in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on PT Indo Tambangraya 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 UNSPADR12 are associated (or correlated) with PT Indo. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of PT Indo Tambangraya has no effect on the direction of JAPAN TOBACCO i.e., JAPAN TOBACCO and PT Indo go up and down completely randomly.
Pair Corralation between JAPAN TOBACCO and PT Indo
Assuming the 90 days trading horizon JAPAN TOBACCO is expected to generate 6.03 times less return on investment than PT Indo. But when comparing it to its historical volatility, JAPAN TOBACCO UNSPADR12 is 1.61 times less risky than PT Indo. It trades about 0.05 of its potential returns per unit of risk. PT Indo Tambangraya is currently generating about 0.2 of returns per unit of risk over similar time horizon. If you would invest 145.00 in PT Indo Tambangraya on September 13, 2024 and sell it today you would earn a total of 17.00 from holding PT Indo Tambangraya or generate 11.72% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Weak |
| Accuracy | 95.65% |
| Values | Daily Returns |
JAPAN TOBACCO UNSPADR12 vs. PT Indo Tambangraya
Performance |
| Timeline |
| JAPAN TOBACCO UNSPADR12 |
| PT Indo Tambangraya |
JAPAN TOBACCO and PT Indo Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with JAPAN TOBACCO and PT Indo
The main advantage of trading using opposite JAPAN TOBACCO and PT Indo positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if JAPAN TOBACCO position performs unexpectedly, PT Indo 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 Indo will offset losses from the drop in PT Indo's long position.| JAPAN TOBACCO vs. British American Tobacco | JAPAN TOBACCO vs. British American Tobacco | JAPAN TOBACCO vs. Japan Tobacco |
| PT Indo vs. Quaker Chemical | PT Indo vs. Performance Food Group | PT Indo vs. AIR PRODCHEMICALS | PT Indo vs. NISSAN CHEMICAL IND |
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 Instant Ratings module to determine any equity ratings based on digital recommendations. Macroaxis instant equity ratings are based on combination of fundamental analysis and risk-adjusted market performance.
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