Correlation Between Chandra Asri and Pertamina Geothermal
Can any of the company-specific risk be diversified away by investing in both Chandra Asri and Pertamina Geothermal 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 Chandra Asri and Pertamina Geothermal into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Chandra Asri Petrochemical and Pertamina Geothermal Energy, you can compare the effects of market volatilities on Chandra Asri and Pertamina Geothermal 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 Chandra Asri with a short position of Pertamina Geothermal. Check out your portfolio center. Please also check ongoing floating volatility patterns of Chandra Asri and Pertamina Geothermal.
Diversification Opportunities for Chandra Asri and Pertamina Geothermal
0.84 | Correlation Coefficient |
Very poor diversification
The 3 months correlation between Chandra and Pertamina is 0.84. Overlapping area represents the amount of risk that can be diversified away by holding Chandra Asri Petrochemical and Pertamina Geothermal Energy in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Pertamina Geothermal and Chandra Asri 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 Chandra Asri Petrochemical are associated (or correlated) with Pertamina Geothermal. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Pertamina Geothermal has no effect on the direction of Chandra Asri i.e., Chandra Asri and Pertamina Geothermal go up and down completely randomly.
Pair Corralation between Chandra Asri and Pertamina Geothermal
Assuming the 90 days trading horizon Chandra Asri Petrochemical is expected to under-perform the Pertamina Geothermal. In addition to that, Chandra Asri is 3.11 times more volatile than Pertamina Geothermal Energy. It trades about -0.16 of its total potential returns per unit of risk. Pertamina Geothermal Energy is currently generating about -0.21 per unit of volatility. If you would invest 106,500 in Pertamina Geothermal Energy on September 3, 2024 and sell it today you would lose (7,500) from holding Pertamina Geothermal Energy or give up 7.04% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
Chandra Asri Petrochemical vs. Pertamina Geothermal Energy
Performance |
| Timeline |
| Chandra Asri Petroch |
| Pertamina Geothermal |
Chandra Asri and Pertamina Geothermal Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Chandra Asri and Pertamina Geothermal
The main advantage of trading using opposite Chandra Asri and Pertamina Geothermal positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Chandra Asri position performs unexpectedly, Pertamina Geothermal 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 Pertamina Geothermal will offset losses from the drop in Pertamina Geothermal's long position.| Chandra Asri vs. Timah Persero Tbk | Chandra Asri vs. Semen Indonesia Persero | Chandra Asri vs. Mitra Pinasthika Mustika | Chandra Asri vs. Jakarta Int Hotels |
| Pertamina Geothermal vs. Chandra Asri Petrochemical | Pertamina Geothermal vs. Bank Negara Indonesia | Pertamina Geothermal vs. Sumber Alfaria Trijaya | Pertamina Geothermal vs. Mitra Pinasthika Mustika |
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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