Correlation Between Pembangunan Jaya and Pudjiadi Sons
Can any of the company-specific risk be diversified away by investing in both Pembangunan Jaya and Pudjiadi Sons 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 Pudjiadi Sons 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 Pudjiadi Sons Tbk, you can compare the effects of market volatilities on Pembangunan Jaya and Pudjiadi Sons 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 Pudjiadi Sons. Check out your portfolio center. Please also check ongoing floating volatility patterns of Pembangunan Jaya and Pudjiadi Sons.
Diversification Opportunities for Pembangunan Jaya and Pudjiadi Sons
-0.61 | Correlation Coefficient |
Excellent diversification
The 3 months correlation between Pembangunan and Pudjiadi is -0.61. Overlapping area represents the amount of risk that can be diversified away by holding Pembangunan Jaya Ancol and Pudjiadi Sons Tbk in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Pudjiadi Sons 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 Pudjiadi Sons. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Pudjiadi Sons Tbk has no effect on the direction of Pembangunan Jaya i.e., Pembangunan Jaya and Pudjiadi Sons go up and down completely randomly.
Pair Corralation between Pembangunan Jaya and Pudjiadi Sons
Assuming the 90 days trading horizon Pembangunan Jaya Ancol is expected to under-perform the Pudjiadi Sons. But the stock apears to be less risky and, when comparing its historical volatility, Pembangunan Jaya Ancol is 18.71 times less risky than Pudjiadi Sons. The stock trades about -0.38 of its potential returns per unit of risk. The Pudjiadi Sons Tbk is currently generating about 0.46 of returns per unit of risk over similar time horizon. If you would invest 45,400 in Pudjiadi Sons Tbk on August 29, 2024 and sell it today you would earn a total of 90,600 from holding Pudjiadi Sons Tbk or generate 199.56% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
Pembangunan Jaya Ancol vs. Pudjiadi Sons Tbk
Performance |
| Timeline |
| Pembangunan Jaya Ancol |
| Pudjiadi Sons Tbk |
Pembangunan Jaya and Pudjiadi Sons Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Pembangunan Jaya and Pudjiadi Sons
The main advantage of trading using opposite Pembangunan Jaya and Pudjiadi Sons positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Pembangunan Jaya position performs unexpectedly, Pudjiadi Sons 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 Pudjiadi Sons will offset losses from the drop in Pudjiadi Sons' 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 |
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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 Performance Analysis module to check effects of mean-variance optimization against your current asset allocation.
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