Correlation Between PT Astra and BM European
Can any of the company-specific risk be diversified away by investing in both PT Astra and BM European 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 PT Astra and BM European into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between PT Astra International and BM European Value, you can compare the effects of market volatilities on PT Astra and BM European 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 PT Astra with a short position of BM European. Check out your portfolio center. Please also check ongoing floating volatility patterns of PT Astra and BM European.
Diversification Opportunities for PT Astra and BM European
-0.7 | Correlation Coefficient |
Excellent diversification
The 3 months correlation between PTAIF and BMRPF is -0.7. Overlapping area represents the amount of risk that can be diversified away by holding PT Astra International and BM European Value in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on BM European Value and PT Astra 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 PT Astra International are associated (or correlated) with BM European. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of BM European Value has no effect on the direction of PT Astra i.e., PT Astra and BM European go up and down completely randomly.
Pair Corralation between PT Astra and BM European
Assuming the 90 days horizon PT Astra International is expected to generate 1.67 times more return on investment than BM European. However, PT Astra is 1.67 times more volatile than BM European Value. It trades about 0.04 of its potential returns per unit of risk. BM European Value is currently generating about 0.01 per unit of risk. If you would invest 35.00 in PT Astra International on August 31, 2024 and sell it today you would earn a total of 2.00 from holding PT Astra International or generate 5.71% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Weak |
| Accuracy | 62.26% |
| Values | Daily Returns |
PT Astra International vs. BM European Value
Performance |
| Timeline |
| PT Astra International |
| BM European Value |
PT Astra and BM European Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with PT Astra and BM European
The main advantage of trading using opposite PT Astra and BM European positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if PT Astra position performs unexpectedly, BM European 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 BM European will offset losses from the drop in BM European's long position.| PT Astra vs. Allison Transmission Holdings | PT Astra vs. Luminar Technologies | PT Astra vs. Quantumscape Corp | PT Astra vs. Lear Corporation |
| BM European vs. BM European Value | BM European vs. Barratt Developments plc | BM European vs. J Sainsbury plc | BM European vs. Kingfisher plc |
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 Dashboard module to portfolio dashboard that provides centralized access to all your investments.
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