Correlation Between PT Astra and Global Ship

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

By analyzing existing cross correlation between PT Astra International and Global Ship Lease, you can compare the effects of market volatilities on PT Astra and Global Ship 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 Astra with a short position of Global Ship. Check out your portfolio center. Please also check ongoing floating volatility patterns of PT Astra and Global Ship.

Diversification Opportunities for PT Astra and Global Ship

-0.03

Correlation Coefficient

PT Astra  Global Ship

Good diversification

The 3 months correlation between ASJA and Global is -0.03. Overlapping area represents the amount of risk that can be diversified away by holding PT Astra International and Global Ship Lease in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Global Ship Lease and PT Astra 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 Astra International are associated (or correlated) with Global Ship. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Global Ship Lease has no effect on the direction of PT Astra i.e., PT Astra and Global Ship go up and down completely randomly.

Pair Corralation between PT Astra and Global Ship

Assuming the 90 days trading horizon PT Astra is expected to generate 1.37 times less return on investment than Global Ship. In addition to that, PT Astra is 2.5 times more volatile than Global Ship Lease. It trades about 0.02 of its total potential returns per unit of risk. Global Ship Lease is currently generating about 0.06 per unit of volatility. If you would invest  1,356  in Global Ship Lease on September 16, 2024 and sell it today you would earn a total of  724.00  from holding Global Ship Lease or generate 53.39% return on investment over 90 days.

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

PT Astra International  vs.  Global Ship Lease

PT Astra International

Risk-Adjusted Performance

1 of 100

Weak

Compared to the overall equity markets, risk-adjusted returns on investments in PT Astra International are ranked lower than 1 (%) of all global equities and portfolios over the last 90 days. Despite nearly stable forward-looking indicators, PT Astra is not utilizing all of its potentials. The current stock price disturbance, may contribute to mid-run losses for the stockholders.

Global Ship Lease

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Global Ship Lease has generated negative risk-adjusted returns adding no value to investors with long positions. Despite nearly stable basic indicators, Global Ship 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 Astra and Global Ship

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

The idea behind PT Astra International and Global Ship Lease 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 Optimization module to compute new portfolio that will generate highest expected return given your specified tolerance for risk.