Correlation Between Unilever Indonesia and Gudang Garam
Can any of the company-specific risk be diversified away by investing in both Unilever Indonesia and Gudang Garam 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 Unilever Indonesia and Gudang Garam into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Unilever Indonesia Tbk and Gudang Garam Tbk, you can compare the effects of market volatilities on Unilever Indonesia and Gudang Garam 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 Unilever Indonesia with a short position of Gudang Garam. Check out your portfolio center. Please also check ongoing floating volatility patterns of Unilever Indonesia and Gudang Garam.
Diversification Opportunities for Unilever Indonesia and Gudang Garam
0.93 | Correlation Coefficient |
Almost no diversification
The 3 months correlation between Unilever and Gudang is 0.93. Overlapping area represents the amount of risk that can be diversified away by holding Unilever Indonesia Tbk and Gudang Garam Tbk in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Gudang Garam Tbk and Unilever Indonesia 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 Unilever Indonesia Tbk are associated (or correlated) with Gudang Garam. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Gudang Garam Tbk has no effect on the direction of Unilever Indonesia i.e., Unilever Indonesia and Gudang Garam go up and down completely randomly.
Pair Corralation between Unilever Indonesia and Gudang Garam
Assuming the 90 days trading horizon Unilever Indonesia Tbk is expected to under-perform the Gudang Garam. In addition to that, Unilever Indonesia is 2.2 times more volatile than Gudang Garam Tbk. It trades about -0.43 of its total potential returns per unit of risk. Gudang Garam Tbk is currently generating about -0.57 per unit of volatility. If you would invest 1,550,000 in Gudang Garam Tbk on August 24, 2024 and sell it today you would lose (237,500) from holding Gudang Garam Tbk or give up 15.32% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
Unilever Indonesia Tbk vs. Gudang Garam Tbk
Performance |
| Timeline |
| Unilever Indonesia Tbk |
| Gudang Garam Tbk |
Unilever Indonesia and Gudang Garam Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Unilever Indonesia and Gudang Garam
The main advantage of trading using opposite Unilever Indonesia and Gudang Garam positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Unilever Indonesia position performs unexpectedly, Gudang Garam 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 Gudang Garam will offset losses from the drop in Gudang Garam's long position.| Unilever Indonesia vs. PT Indofood Sukses | Unilever Indonesia vs. Astra International Tbk | Unilever Indonesia vs. Telkom Indonesia Tbk | Unilever Indonesia vs. Bank Central Asia |
| Gudang Garam vs. Hanjaya Mandala Sampoerna | Gudang Garam vs. Unilever Indonesia Tbk | Gudang Garam vs. PT Indofood Sukses | Gudang Garam vs. United Tractors Tbk |
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 Volatility Analysis module to get historical volatility and risk analysis based on latest market data.
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