Correlation Between Jasa Marga and Perusahaan Gas
Can any of the company-specific risk be diversified away by investing in both Jasa Marga and Perusahaan Gas 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 Jasa Marga and Perusahaan Gas into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Jasa Marga Tbk and Perusahaan Gas Negara, you can compare the effects of market volatilities on Jasa Marga and Perusahaan Gas 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 Jasa Marga with a short position of Perusahaan Gas. Check out your portfolio center. Please also check ongoing floating volatility patterns of Jasa Marga and Perusahaan Gas.
Diversification Opportunities for Jasa Marga and Perusahaan Gas
0.58 | Correlation Coefficient |
Very weak diversification
The 3 months correlation between Jasa and Perusahaan is 0.58. Overlapping area represents the amount of risk that can be diversified away by holding Jasa Marga Tbk and Perusahaan Gas Negara in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Perusahaan Gas Negara and Jasa Marga 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 Jasa Marga Tbk are associated (or correlated) with Perusahaan Gas. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Perusahaan Gas Negara has no effect on the direction of Jasa Marga i.e., Jasa Marga and Perusahaan Gas go up and down completely randomly.
Pair Corralation between Jasa Marga and Perusahaan Gas
Assuming the 90 days trading horizon Jasa Marga Tbk is expected to under-perform the Perusahaan Gas. But the stock apears to be less risky and, when comparing its historical volatility, Jasa Marga Tbk is 1.47 times less risky than Perusahaan Gas. The stock trades about -0.16 of its potential returns per unit of risk. The Perusahaan Gas Negara is currently generating about -0.05 of returns per unit of risk over similar time horizon. If you would invest 153,000 in Perusahaan Gas Negara on August 25, 2024 and sell it today you would lose (3,500) from holding Perusahaan Gas Negara or give up 2.29% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
Jasa Marga Tbk vs. Perusahaan Gas Negara
Performance |
| Timeline |
| Jasa Marga Tbk |
| Perusahaan Gas Negara |
Jasa Marga and Perusahaan Gas Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Jasa Marga and Perusahaan Gas
The main advantage of trading using opposite Jasa Marga and Perusahaan Gas positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Jasa Marga position performs unexpectedly, Perusahaan Gas 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 Perusahaan Gas will offset losses from the drop in Perusahaan Gas' long position.| Jasa Marga vs. Semen Indonesia Persero | Jasa Marga vs. Wijaya Karya Beton | Jasa Marga vs. Perusahaan Gas Negara | Jasa Marga vs. PT Indofood Sukses |
| Perusahaan Gas vs. Aneka Tambang Persero | Perusahaan Gas vs. Bukit Asam Tbk | Perusahaan Gas vs. Telkom Indonesia Tbk | Perusahaan Gas vs. Astra International 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 Bonds Directory module to find actively traded corporate debentures issued by US companies.
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