Correlation Between Triputra Agro and Austindo Nusantara
Can any of the company-specific risk be diversified away by investing in both Triputra Agro and Austindo Nusantara 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 Triputra Agro and Austindo Nusantara into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Triputra Agro Persada and Austindo Nusantara Jaya, you can compare the effects of market volatilities on Triputra Agro and Austindo Nusantara 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 Triputra Agro with a short position of Austindo Nusantara. Check out your portfolio center. Please also check ongoing floating volatility patterns of Triputra Agro and Austindo Nusantara.
Diversification Opportunities for Triputra Agro and Austindo Nusantara
0.78 | Correlation Coefficient |
Poor diversification
The 3 months correlation between Triputra and Austindo is 0.78. Overlapping area represents the amount of risk that can be diversified away by holding Triputra Agro Persada and Austindo Nusantara Jaya in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Austindo Nusantara Jaya and Triputra Agro 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 Triputra Agro Persada are associated (or correlated) with Austindo Nusantara. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Austindo Nusantara Jaya has no effect on the direction of Triputra Agro i.e., Triputra Agro and Austindo Nusantara go up and down completely randomly.
Pair Corralation between Triputra Agro and Austindo Nusantara
Assuming the 90 days trading horizon Triputra Agro Persada is expected to under-perform the Austindo Nusantara. In addition to that, Triputra Agro is 2.35 times more volatile than Austindo Nusantara Jaya. It trades about -0.08 of its total potential returns per unit of risk. Austindo Nusantara Jaya is currently generating about -0.11 per unit of volatility. If you would invest 75,500 in Austindo Nusantara Jaya on September 1, 2024 and sell it today you would lose (2,000) from holding Austindo Nusantara Jaya or give up 2.65% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 95.45% |
| Values | Daily Returns |
Triputra Agro Persada vs. Austindo Nusantara Jaya
Performance |
| Timeline |
| Triputra Agro Persada |
| Austindo Nusantara Jaya |
Triputra Agro and Austindo Nusantara Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Triputra Agro and Austindo Nusantara
The main advantage of trading using opposite Triputra Agro and Austindo Nusantara positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Triputra Agro position performs unexpectedly, Austindo Nusantara 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 Austindo Nusantara will offset losses from the drop in Austindo Nusantara's long position.| Triputra Agro vs. Habco Trans Maritima | Triputra Agro vs. PT Cilacap Samudera | Triputra Agro vs. PT Sari Kreasi | Triputra Agro vs. Autopedia Sukses Lestari |
| Austindo Nusantara vs. Dharma Satya Nusantara | Austindo Nusantara vs. Provident Agro Tbk | Austindo Nusantara vs. Salim Ivomas Pratama | Austindo Nusantara vs. Jaya Agra Wattie |
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 Optimization module to compute new portfolio that will generate highest expected return given your specified tolerance for risk.
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