Correlation Between Pembangunan Jaya and Astra International
Can any of the company-specific risk be diversified away by investing in both Pembangunan Jaya 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 Pembangunan Jaya and Astra International into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Pembangunan Jaya Ancol and Astra International Tbk, you can compare the effects of market volatilities on Pembangunan Jaya 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 Pembangunan Jaya with a short position of Astra International. Check out your portfolio center. Please also check ongoing floating volatility patterns of Pembangunan Jaya and Astra International.
Diversification Opportunities for Pembangunan Jaya and Astra International
-0.23 | Correlation Coefficient |
Very good diversification
The 3 months correlation between Pembangunan and Astra is -0.23. Overlapping area represents the amount of risk that can be diversified away by holding Pembangunan Jaya Ancol 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 Pembangunan Jaya 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 Pembangunan Jaya Ancol 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 Pembangunan Jaya i.e., Pembangunan Jaya and Astra International go up and down completely randomly.
Pair Corralation between Pembangunan Jaya and Astra International
Assuming the 90 days trading horizon Pembangunan Jaya Ancol is expected to under-perform the Astra International. But the stock apears to be less risky and, when comparing its historical volatility, Pembangunan Jaya Ancol is 1.99 times less risky than Astra International. The stock trades about -0.25 of its potential returns per unit of risk. The Astra International Tbk is currently generating about 0.13 of returns per unit of risk over similar time horizon. If you would invest 497,000 in Astra International Tbk on September 12, 2024 and sell it today you would earn a total of 23,000 from holding Astra International Tbk or generate 4.63% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Insignificant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Pembangunan Jaya Ancol vs. Astra International Tbk
Performance |
| Timeline |
| Pembangunan Jaya Ancol |
| Astra International Tbk |
Pembangunan Jaya and Astra International Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Pembangunan Jaya and Astra International
The main advantage of trading using opposite Pembangunan Jaya and Astra International positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Pembangunan Jaya 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.| Pembangunan Jaya vs. Pembangunan Graha Lestari | Pembangunan Jaya vs. Hotel Sahid Jaya | Pembangunan Jaya vs. Mitrabara Adiperdana PT | Pembangunan Jaya vs. PT Multi Garam |
| Astra International vs. Pembangunan Graha Lestari | Astra International vs. Pembangunan Jaya Ancol | Astra International vs. Hotel Sahid Jaya | Astra International vs. Mitrabara Adiperdana PT |
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 Share Portfolio module to track or share privately all of your investments from the convenience of any device.
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