Correlation Between Pembangunan Jaya and Pembangunan Graha
Can any of the company-specific risk be diversified away by investing in both Pembangunan Jaya and Pembangunan Graha 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 Pembangunan Graha 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 Pembangunan Graha Lestari, you can compare the effects of market volatilities on Pembangunan Jaya and Pembangunan Graha 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 Pembangunan Graha. Check out your portfolio center. Please also check ongoing floating volatility patterns of Pembangunan Jaya and Pembangunan Graha.
Diversification Opportunities for Pembangunan Jaya and Pembangunan Graha
-0.6 | Correlation Coefficient |
Excellent diversification
The 3 months correlation between Pembangunan and Pembangunan is -0.6. Overlapping area represents the amount of risk that can be diversified away by holding Pembangunan Jaya Ancol and Pembangunan Graha Lestari in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Pembangunan Graha Lestari 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 Pembangunan Graha. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Pembangunan Graha Lestari has no effect on the direction of Pembangunan Jaya i.e., Pembangunan Jaya and Pembangunan Graha go up and down completely randomly.
Pair Corralation between Pembangunan Jaya and Pembangunan Graha
Assuming the 90 days trading horizon Pembangunan Jaya is expected to generate 65.0 times less return on investment than Pembangunan Graha. But when comparing it to its historical volatility, Pembangunan Jaya Ancol is 2.12 times less risky than Pembangunan Graha. It trades about 0.0 of its potential returns per unit of risk. Pembangunan Graha Lestari is currently generating about 0.01 of returns per unit of risk over similar time horizon. If you would invest 22,491 in Pembangunan Graha Lestari on August 25, 2024 and sell it today you would lose (3,391) from holding Pembangunan Graha Lestari or give up 15.08% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Weak |
| Accuracy | 99.79% |
| Values | Daily Returns |
Pembangunan Jaya Ancol vs. Pembangunan Graha Lestari
Performance |
| Timeline |
| Pembangunan Jaya Ancol |
| Pembangunan Graha Lestari |
Pembangunan Jaya and Pembangunan Graha Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Pembangunan Jaya and Pembangunan Graha
The main advantage of trading using opposite Pembangunan Jaya and Pembangunan Graha positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Pembangunan Jaya position performs unexpectedly, Pembangunan Graha 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 Pembangunan Graha will offset losses from the drop in Pembangunan Graha's long position.| Pembangunan Jaya vs. Lautan Luas Tbk | Pembangunan Jaya vs. Panorama Sentrawisata Tbk | Pembangunan Jaya vs. Multi Indocitra Tbk | Pembangunan Jaya vs. Hotel Sahid Jaya |
| Pembangunan Graha vs. Red Planet Indonesia | Pembangunan Graha vs. Pudjiadi Sons Tbk | Pembangunan Graha vs. Pembangunan Jaya Ancol | Pembangunan Graha vs. Pioneerindo Gourmet International |
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 Idea Analyzer module to analyze all characteristics, volatility and risk-adjusted return of Macroaxis ideas.
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