Correlation Between PT Astra and Samsung Electronics

Can any of the company-specific risk be diversified away by investing in both PT Astra and Samsung Electronics 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 Samsung Electronics 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 Samsung Electronics Co, you can compare the effects of market volatilities on PT Astra and Samsung Electronics 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 Samsung Electronics. Check out your portfolio center. Please also check ongoing floating volatility patterns of PT Astra and Samsung Electronics.

Diversification Opportunities for PT Astra and Samsung Electronics

-0.13

Correlation Coefficient

PT Astra  Samsung Electronics

Good diversification

The 3 months correlation between ASJA and Samsung is -0.13. Overlapping area represents the amount of risk that can be diversified away by holding PT Astra International and Samsung Electronics Co in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Samsung Electronics 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 Samsung Electronics. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Samsung Electronics has no effect on the direction of PT Astra i.e., PT Astra and Samsung Electronics go up and down completely randomly.

Pair Corralation between PT Astra and Samsung Electronics

Assuming the 90 days trading horizon PT Astra International is expected to under-perform the Samsung Electronics. In addition to that, PT Astra is 2.68 times more volatile than Samsung Electronics Co. It trades about -0.01 of its total potential returns per unit of risk. Samsung Electronics Co is currently generating about 0.07 per unit of volatility. If you would invest  73,400  in Samsung Electronics Co on December 23, 2024 and sell it today you would earn a total of  5,600  from holding Samsung Electronics Co or generate 7.63% 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.  Samsung Electronics Co

PT Astra International

Risk-Adjusted Performance

Very Weak

Over the last 90 days PT Astra International has generated negative risk-adjusted returns adding no value to investors with long positions. 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.

Samsung Electronics

Risk-Adjusted Performance

Modest

Compared to the overall equity markets, risk-adjusted returns on investments in Samsung Electronics Co are ranked lower than 5 (%) of all global equities and portfolios over the last 90 days. In spite of comparatively unsteady basic indicators, Samsung Electronics may actually be approaching a critical reversion point that can send shares even higher in April 2025.

Pair Trading with PT Astra and Samsung Electronics

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

The idea behind PT Astra International and Samsung Electronics Co 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.

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 Portfolio Center module to all portfolio management and optimization tools to improve performance of your portfolios.