Correlation Between Perusahaan Gas and Astra International
Can any of the company-specific risk be diversified away by investing in both Perusahaan Gas and Astra International 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 Perusahaan Gas and Astra International into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Perusahaan Gas Negara and Astra International Tbk, you can compare the effects of market volatilities on Perusahaan Gas and Astra International 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 Perusahaan Gas with a short position of Astra International. Check out your portfolio center. Please also check ongoing floating volatility patterns of Perusahaan Gas and Astra International.
Diversification Opportunities for Perusahaan Gas and Astra International
-0.07 | Correlation Coefficient |
Good diversification
The 3 months correlation between Perusahaan and Astra is -0.07. Overlapping area represents the amount of risk that can be diversified away by holding Perusahaan Gas Negara and Astra International Tbk in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Astra International Tbk and Perusahaan Gas 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 Perusahaan Gas Negara are associated (or correlated) with Astra International. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Astra International Tbk has no effect on the direction of Perusahaan Gas i.e., Perusahaan Gas and Astra International go up and down completely randomly.
Pair Corralation between Perusahaan Gas and Astra International
Assuming the 90 days trading horizon Perusahaan Gas Negara is expected to generate 1.17 times more return on investment than Astra International. However, Perusahaan Gas is 1.17 times more volatile than Astra International Tbk. It trades about 0.05 of its potential returns per unit of risk. Astra International Tbk is currently generating about -0.03 per unit of risk. If you would invest 117,689 in Perusahaan Gas Negara on August 27, 2024 and sell it today you would earn a total of 31,811 from holding Perusahaan Gas Negara or generate 27.03% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Insignificant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Perusahaan Gas Negara vs. Astra International Tbk
Performance |
| Timeline |
| Perusahaan Gas Negara |
| Astra International Tbk |
Perusahaan Gas and Astra International Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Perusahaan Gas and Astra International
The main advantage of trading using opposite Perusahaan Gas and Astra International positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Perusahaan Gas position performs unexpectedly, Astra International 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 Astra International will offset losses from the drop in Astra International's long position.| Perusahaan Gas vs. Aneka Tambang Persero | Perusahaan Gas vs. Bukit Asam Tbk | Perusahaan Gas vs. Telkom Indonesia Tbk | Perusahaan Gas vs. Astra International Tbk |
| Astra International vs. Telkom Indonesia Tbk | Astra International vs. Bank Mandiri Persero | Astra International vs. Bank Central Asia | Astra International vs. PT Indofood Sukses |
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 Odds Of Bankruptcy module to get analysis of equity chance of financial distress in the next 2 years.
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