Correlation Between Perusahaan Gas and Telkom Indonesia
Can any of the company-specific risk be diversified away by investing in both Perusahaan Gas and Telkom Indonesia 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 Telkom Indonesia 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 Telkom Indonesia Tbk, you can compare the effects of market volatilities on Perusahaan Gas and Telkom Indonesia 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 Telkom Indonesia. Check out your portfolio center. Please also check ongoing floating volatility patterns of Perusahaan Gas and Telkom Indonesia.
Diversification Opportunities for Perusahaan Gas and Telkom Indonesia
0.03 | Correlation Coefficient |
Significant diversification
The 3 months correlation between Perusahaan and Telkom is 0.03. Overlapping area represents the amount of risk that can be diversified away by holding Perusahaan Gas Negara and Telkom Indonesia Tbk in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Telkom Indonesia 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 Telkom Indonesia. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Telkom Indonesia Tbk has no effect on the direction of Perusahaan Gas i.e., Perusahaan Gas and Telkom Indonesia go up and down completely randomly.
Pair Corralation between Perusahaan Gas and Telkom Indonesia
Assuming the 90 days trading horizon Perusahaan Gas Negara is expected to generate 0.75 times more return on investment than Telkom Indonesia. However, Perusahaan Gas Negara is 1.34 times less risky than Telkom Indonesia. It trades about -0.08 of its potential returns per unit of risk. Telkom Indonesia Tbk is currently generating about -0.1 per unit of risk. If you would invest 155,000 in Perusahaan Gas Negara on August 24, 2024 and sell it today you would lose (5,000) from holding Perusahaan Gas Negara or give up 3.23% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Insignificant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Perusahaan Gas Negara vs. Telkom Indonesia Tbk
Performance |
| Timeline |
| Perusahaan Gas Negara |
| Telkom Indonesia Tbk |
Perusahaan Gas and Telkom Indonesia Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Perusahaan Gas and Telkom Indonesia
The main advantage of trading using opposite Perusahaan Gas and Telkom Indonesia positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Perusahaan Gas position performs unexpectedly, Telkom Indonesia 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 Telkom Indonesia will offset losses from the drop in Telkom Indonesia'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 |
| Telkom Indonesia vs. Astra International Tbk | Telkom Indonesia vs. Bank Rakyat Indonesia | Telkom Indonesia vs. Bank Mandiri Persero | Telkom Indonesia vs. Bank Central Asia |
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 Holdings module to check your current holdings and cash postion to detemine if your portfolio needs rebalancing.
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