Correlation Between Selective Insurance and PT Astra
Can any of the company-specific risk be diversified away by investing in both Selective Insurance and PT Astra 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 Selective Insurance and PT Astra into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Selective Insurance Group and PT Astra International, you can compare the effects of market volatilities on Selective Insurance and PT Astra 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 Selective Insurance with a short position of PT Astra. Check out your portfolio center. Please also check ongoing floating volatility patterns of Selective Insurance and PT Astra.
Diversification Opportunities for Selective Insurance and PT Astra
-0.23 | Correlation Coefficient |
Very good diversification
The 3 months correlation between Selective and ASJA is -0.23. Overlapping area represents the amount of risk that can be diversified away by holding Selective Insurance Group and PT Astra International in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on PT Astra International and Selective Insurance 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 Selective Insurance Group are associated (or correlated) with PT Astra. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of PT Astra International has no effect on the direction of Selective Insurance i.e., Selective Insurance and PT Astra go up and down completely randomly.
Pair Corralation between Selective Insurance and PT Astra
Assuming the 90 days horizon Selective Insurance is expected to generate 7.78 times less return on investment than PT Astra. But when comparing it to its historical volatility, Selective Insurance Group is 2.72 times less risky than PT Astra. It trades about 0.01 of its potential returns per unit of risk. PT Astra International is currently generating about 0.03 of returns per unit of risk over similar time horizon. If you would invest 31.00 in PT Astra International on September 12, 2024 and sell it today you would earn a total of 2.00 from holding PT Astra International or generate 6.45% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Insignificant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Selective Insurance Group vs. PT Astra International
Performance |
| Timeline |
| Selective Insurance |
| PT Astra International |
Selective Insurance and PT Astra Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Selective Insurance and PT Astra
The main advantage of trading using opposite Selective Insurance and PT Astra positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Selective Insurance position performs unexpectedly, PT Astra 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 PT Astra will offset losses from the drop in PT Astra's long position.| Selective Insurance vs. QBE Insurance Group | Selective Insurance vs. Insurance Australia Group | Selective Insurance vs. Superior Plus Corp | Selective Insurance vs. SIVERS SEMICONDUCTORS AB |
| PT Astra vs. Brockhaus Capital Management | PT Astra vs. ITALIAN WINE BRANDS | PT Astra vs. LANDSEA GREEN MANAGEMENT | PT Astra vs. Marie Brizard Wine |
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 Volatility module to check portfolio volatility and analyze historical return density to properly model market risk.
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