Correlation Between Pembangunan Jaya and Indorama Synthetics
Can any of the company-specific risk be diversified away by investing in both Pembangunan Jaya and Indorama Synthetics 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 Indorama Synthetics 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 Indorama Synthetics Tbk, you can compare the effects of market volatilities on Pembangunan Jaya and Indorama Synthetics 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 Indorama Synthetics. Check out your portfolio center. Please also check ongoing floating volatility patterns of Pembangunan Jaya and Indorama Synthetics.
Diversification Opportunities for Pembangunan Jaya and Indorama Synthetics
0.82 | Correlation Coefficient |
Very poor diversification
The 3 months correlation between Pembangunan and Indorama is 0.82. Overlapping area represents the amount of risk that can be diversified away by holding Pembangunan Jaya Ancol and Indorama Synthetics Tbk in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Indorama Synthetics 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 Indorama Synthetics. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Indorama Synthetics Tbk has no effect on the direction of Pembangunan Jaya i.e., Pembangunan Jaya and Indorama Synthetics go up and down completely randomly.
Pair Corralation between Pembangunan Jaya and Indorama Synthetics
Assuming the 90 days trading horizon Pembangunan Jaya Ancol is expected to under-perform the Indorama Synthetics. But the stock apears to be less risky and, when comparing its historical volatility, Pembangunan Jaya Ancol is 1.2 times less risky than Indorama Synthetics. The stock trades about -0.09 of its potential returns per unit of risk. The Indorama Synthetics Tbk is currently generating about -0.01 of returns per unit of risk over similar time horizon. If you would invest 317,000 in Indorama Synthetics Tbk on September 1, 2024 and sell it today you would lose (40,000) from holding Indorama Synthetics Tbk or give up 12.62% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
Pembangunan Jaya Ancol vs. Indorama Synthetics Tbk
Performance |
| Timeline |
| Pembangunan Jaya Ancol |
| Indorama Synthetics Tbk |
Pembangunan Jaya and Indorama Synthetics Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Pembangunan Jaya and Indorama Synthetics
The main advantage of trading using opposite Pembangunan Jaya and Indorama Synthetics positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Pembangunan Jaya position performs unexpectedly, Indorama Synthetics 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 Indorama Synthetics will offset losses from the drop in Indorama Synthetics' long position.| Pembangunan Jaya vs. Japfa Comfeed Indonesia | Pembangunan Jaya vs. Charoen Pokphand Indonesia | Pembangunan Jaya vs. Erajaya Swasembada Tbk | Pembangunan Jaya vs. Indofood Cbp Sukses |
| Indorama Synthetics vs. Japfa Comfeed Indonesia | Indorama Synthetics vs. Charoen Pokphand Indonesia | Indorama Synthetics vs. Erajaya Swasembada Tbk | Indorama Synthetics vs. Indofood Cbp 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 Stock Tickers module to use high-impact, comprehensive, and customizable stock tickers that can be easily integrated to any websites.
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