Correlation Between Argha Karya and PT Citra

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

By analyzing existing cross correlation between Argha Karya Prima and PT Citra Tubindo, you can compare the effects of market volatilities on Argha Karya and PT Citra 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 Argha Karya with a short position of PT Citra. Check out your portfolio center. Please also check ongoing floating volatility patterns of Argha Karya and PT Citra.

Diversification Opportunities for Argha Karya and PT Citra

-0.19

Correlation Coefficient

Argha Karya  PT Citra

Good diversification

The 3 months correlation between Argha and CTBN is -0.19. Overlapping area represents the amount of risk that can be diversified away by holding Argha Karya Prima and PT Citra Tubindo in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on PT Citra Tubindo and Argha 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 Argha Karya Prima are associated (or correlated) with PT Citra. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of PT Citra Tubindo has no effect on the direction of Argha Karya i.e., Argha Karya and PT Citra go up and down completely randomly.

Pair Corralation between Argha Karya and PT Citra

Assuming the 90 days trading horizon Argha Karya Prima is expected to under-perform the PT Citra. But the stock apears to be less risky and, when comparing its historical volatility, Argha Karya Prima is 1.2 times less risky than PT Citra. The stock trades about -0.03 of its potential returns per unit of risk. The PT Citra Tubindo is currently generating about 0.1 of returns per unit of risk over similar time horizon. If you would invest  220,000  in PT Citra Tubindo on September 14, 2024 and sell it today you would earn a total of  60,000  from holding PT Citra Tubindo or generate 27.27% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Against
Strength	Insignificant
Accuracy	100.0%
Values	Daily Returns

Argha Karya Prima  vs.  PT Citra Tubindo

Argha Karya Prima

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Argha Karya Prima has generated negative risk-adjusted returns adding no value to investors with long positions. Despite latest conflicting performance, the Stock's forward-looking signals remain persistent and the latest mess on Wall Street may also be a sign of long-standing gains for the company institutional investors.

PT Citra Tubindo

Risk-Adjusted Performance

8 of 100

OK

Compared to the overall equity markets, risk-adjusted returns on investments in PT Citra Tubindo are ranked lower than 8 (%) of all global equities and portfolios over the last 90 days. Despite quite conflicting forward-looking signals, PT Citra disclosed solid returns over the last few months and may actually be approaching a breakup point.

Pair Trading with Argha Karya and PT Citra

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

The idea behind Argha Karya Prima and PT Citra Tubindo 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 Portfolio Volatility module to check portfolio volatility and analyze historical return density to properly model market risk.