Correlation Between PT Jasa and Transurban

Can any of the company-specific risk be diversified away by investing in both PT Jasa and Transurban 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 PT Jasa and Transurban into the same portfolio, which is an essential part of the fundamental portfolio management process.

By analyzing existing cross correlation between PT Jasa Marga and Transurban Group, you can compare the effects of market volatilities on PT Jasa and Transurban 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 PT Jasa with a short position of Transurban. Check out your portfolio center. Please also check ongoing floating volatility patterns of PT Jasa and Transurban.

Diversification Opportunities for PT Jasa and Transurban

0.38

Correlation Coefficient

PT Jasa  Transurban

Weak diversification

The 3 months correlation between 0JM and Transurban is 0.38. Overlapping area represents the amount of risk that can be diversified away by holding PT Jasa Marga and Transurban Group in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Transurban Group and PT Jasa 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 PT Jasa Marga are associated (or correlated) with Transurban. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Transurban Group has no effect on the direction of PT Jasa i.e., PT Jasa and Transurban go up and down completely randomly.

Pair Corralation between PT Jasa and Transurban

Assuming the 90 days horizon PT Jasa Marga is expected to under-perform the Transurban. In addition to that, PT Jasa is 2.37 times more volatile than Transurban Group. It trades about -0.13 of its total potential returns per unit of risk. Transurban Group is currently generating about 0.09 per unit of volatility. If you would invest  794.00  in Transurban Group on September 25, 2024 and sell it today you would earn a total of  18.00  from holding Transurban Group or generate 2.27% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Together
Strength	Very Weak
Accuracy	95.45%
Values	Daily Returns

PT Jasa Marga  vs.  Transurban Group

PT Jasa Marga

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days PT Jasa Marga has generated negative risk-adjusted returns adding no value to investors with long positions. Despite latest fragile performance, the Stock's basic indicators remain stable and the current disturbance on Wall Street may also be a sign of long-run gains for the company stockholders.

Transurban Group

Risk-Adjusted Performance

2 of 100

Weak

Compared to the overall equity markets, risk-adjusted returns on investments in Transurban Group are ranked lower than 2 (%) of all global equities and portfolios over the last 90 days. Despite nearly stable basic indicators, Transurban is not utilizing all of its potentials. The current stock price disturbance, may contribute to mid-run losses for the stockholders.

Pair Trading with PT Jasa and Transurban

The main advantage of trading using opposite PT Jasa and Transurban positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if PT Jasa position performs unexpectedly, Transurban 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 Transurban will offset losses from the drop in Transurban's long position.

The idea behind PT Jasa Marga and Transurban Group pairs trading is to make the combined position market-neutral, meaning the overall market's direction will not affect its win or loss (or potential downside or upside). This can be achieved by designing a pairs trade with two highly correlated stocks or equities that operate in a similar space or sector, making it possible to obtain profits through simple and relatively low-risk investment.

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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 Fundamental Analysis module to view fundamental data based on most recent published financial statements.