Correlation Between Perusahaan Gas and Indonesian Tobacco
Can any of the company-specific risk be diversified away by investing in both Perusahaan Gas and Indonesian Tobacco 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 Indonesian Tobacco 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 Indonesian Tobacco Tbk, you can compare the effects of market volatilities on Perusahaan Gas and Indonesian Tobacco 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 Indonesian Tobacco. Check out your portfolio center. Please also check ongoing floating volatility patterns of Perusahaan Gas and Indonesian Tobacco.
Diversification Opportunities for Perusahaan Gas and Indonesian Tobacco
-0.6 | Correlation Coefficient |
Excellent diversification
The 3 months correlation between Perusahaan and Indonesian is -0.6. Overlapping area represents the amount of risk that can be diversified away by holding Perusahaan Gas Negara and Indonesian Tobacco Tbk in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Indonesian Tobacco 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 Indonesian Tobacco. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Indonesian Tobacco Tbk has no effect on the direction of Perusahaan Gas i.e., Perusahaan Gas and Indonesian Tobacco go up and down completely randomly.
Pair Corralation between Perusahaan Gas and Indonesian Tobacco
Assuming the 90 days trading horizon Perusahaan Gas is expected to generate 3.36 times less return on investment than Indonesian Tobacco. In addition to that, Perusahaan Gas is 2.54 times more volatile than Indonesian Tobacco Tbk. It trades about 0.01 of its total potential returns per unit of risk. Indonesian Tobacco Tbk is currently generating about 0.05 per unit of volatility. If you would invest 24,800 in Indonesian Tobacco Tbk on November 3, 2024 and sell it today you would earn a total of 200.00 from holding Indonesian Tobacco Tbk or generate 0.81% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
Perusahaan Gas Negara vs. Indonesian Tobacco Tbk
Performance |
| Timeline |
| Perusahaan Gas Negara |
| Indonesian Tobacco Tbk |
Perusahaan Gas and Indonesian Tobacco Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Perusahaan Gas and Indonesian Tobacco
The main advantage of trading using opposite Perusahaan Gas and Indonesian Tobacco positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Perusahaan Gas position performs unexpectedly, Indonesian Tobacco 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 Indonesian Tobacco will offset losses from the drop in Indonesian Tobacco'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 |
| Indonesian Tobacco vs. Wismilak Inti Makmur | Indonesian Tobacco vs. J Resources Asia | Indonesian Tobacco vs. Transcoal Pacific Tbk | Indonesian Tobacco vs. Garudafood Putra Putri |
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 Portfolio Comparator module to compare the composition, asset allocations and performance of any two portfolios in your account.
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