Correlation Between Wijaya Karya and Jasa Marga
Can any of the company-specific risk be diversified away by investing in both Wijaya Karya and Jasa Marga 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 Wijaya Karya and Jasa Marga into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Wijaya Karya Beton and Jasa Marga Tbk, you can compare the effects of market volatilities on Wijaya Karya and Jasa Marga 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 Wijaya Karya with a short position of Jasa Marga. Check out your portfolio center. Please also check ongoing floating volatility patterns of Wijaya Karya and Jasa Marga.
Diversification Opportunities for Wijaya Karya and Jasa Marga
0.83 | Correlation Coefficient |
Very poor diversification
The 3 months correlation between Wijaya and Jasa is 0.83. Overlapping area represents the amount of risk that can be diversified away by holding Wijaya Karya Beton and Jasa Marga Tbk in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Jasa Marga Tbk and Wijaya Karya 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 Wijaya Karya Beton are associated (or correlated) with Jasa Marga. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Jasa Marga Tbk has no effect on the direction of Wijaya Karya i.e., Wijaya Karya and Jasa Marga go up and down completely randomly.
Pair Corralation between Wijaya Karya and Jasa Marga
Assuming the 90 days trading horizon Wijaya Karya Beton is expected to under-perform the Jasa Marga. In addition to that, Wijaya Karya is 2.37 times more volatile than Jasa Marga Tbk. It trades about -0.12 of its total potential returns per unit of risk. Jasa Marga Tbk is currently generating about -0.1 per unit of volatility. If you would invest 444,000 in Jasa Marga Tbk on November 4, 2024 and sell it today you would lose (17,000) from holding Jasa Marga Tbk or give up 3.83% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
Wijaya Karya Beton vs. Jasa Marga Tbk
Performance |
| Timeline |
| Wijaya Karya Beton |
| Jasa Marga Tbk |
Wijaya Karya and Jasa Marga Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Wijaya Karya and Jasa Marga
The main advantage of trading using opposite Wijaya Karya and Jasa Marga positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Wijaya Karya position performs unexpectedly, Jasa Marga 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 Jasa Marga will offset losses from the drop in Jasa Marga's long position.| Wijaya Karya vs. Adhi Karya Persero | Wijaya Karya vs. Waskita Karya Persero | Wijaya Karya vs. Pembangunan Perumahan PT | Wijaya Karya vs. Jasa Marga Tbk |
| Jasa Marga vs. Semen Indonesia Persero | Jasa Marga vs. Wijaya Karya Beton | Jasa Marga vs. Perusahaan Gas Negara | Jasa Marga vs. PT Indofood Sukses |
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 Efficient Frontier module to plot and analyze your portfolio and positions against risk-return landscape of the market..
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