Correlation Between Perusahaan Gas and Bumi Resources
Can any of the company-specific risk be diversified away by investing in both Perusahaan Gas and Bumi Resources 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 Bumi Resources 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 Bumi Resources Minerals, you can compare the effects of market volatilities on Perusahaan Gas and Bumi Resources 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 Bumi Resources. Check out your portfolio center. Please also check ongoing floating volatility patterns of Perusahaan Gas and Bumi Resources.
Diversification Opportunities for Perusahaan Gas and Bumi Resources
0.09 | Correlation Coefficient |
Significant diversification
The 3 months correlation between Perusahaan and Bumi is 0.09. Overlapping area represents the amount of risk that can be diversified away by holding Perusahaan Gas Negara and Bumi Resources Minerals in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Bumi Resources Minerals 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 Bumi Resources. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Bumi Resources Minerals has no effect on the direction of Perusahaan Gas i.e., Perusahaan Gas and Bumi Resources go up and down completely randomly.
Pair Corralation between Perusahaan Gas and Bumi Resources
Assuming the 90 days trading horizon Perusahaan Gas is expected to generate 2.38 times less return on investment than Bumi Resources. But when comparing it to its historical volatility, Perusahaan Gas Negara is 3.02 times less risky than Bumi Resources. It trades about 0.06 of its potential returns per unit of risk. Bumi Resources Minerals is currently generating about 0.05 of returns per unit of risk over similar time horizon. If you would invest 38,600 in Bumi Resources Minerals on August 31, 2024 and sell it today you would earn a total of 1,000.00 from holding Bumi Resources Minerals or generate 2.59% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Insignificant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Perusahaan Gas Negara vs. Bumi Resources Minerals
Performance |
| Timeline |
| Perusahaan Gas Negara |
| Bumi Resources Minerals |
Perusahaan Gas and Bumi Resources Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Perusahaan Gas and Bumi Resources
The main advantage of trading using opposite Perusahaan Gas and Bumi Resources positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Perusahaan Gas position performs unexpectedly, Bumi Resources 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 Bumi Resources will offset losses from the drop in Bumi Resources' 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 |
| Bumi Resources vs. Perusahaan Gas Negara | Bumi Resources vs. Vale Indonesia Tbk | Bumi Resources vs. Telkom Indonesia Tbk | Bumi Resources vs. Mitra Pinasthika Mustika |
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 Theme Ratings module to determine theme ratings based on digital equity recommendations. Macroaxis theme ratings are based on combination of fundamental analysis and risk-adjusted market performance.
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