Correlation Between Astra Otoparts and Citra Marga

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

By analyzing existing cross correlation between Astra Otoparts Tbk and Citra Marga Nusaphala, you can compare the effects of market volatilities on Astra Otoparts and Citra 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 Astra Otoparts with a short position of Citra Marga. Check out your portfolio center. Please also check ongoing floating volatility patterns of Astra Otoparts and Citra Marga.

Diversification Opportunities for Astra Otoparts and Citra Marga

-0.52

Correlation Coefficient

Astra Otoparts  Citra Marga

Excellent diversification

The 3 months correlation between Astra and Citra is -0.52. Overlapping area represents the amount of risk that can be diversified away by holding Astra Otoparts Tbk and Citra Marga Nusaphala in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Citra Marga Nusaphala and Astra Otoparts 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 Astra Otoparts Tbk are associated (or correlated) with Citra Marga. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Citra Marga Nusaphala has no effect on the direction of Astra Otoparts i.e., Astra Otoparts and Citra Marga go up and down completely randomly.

Pair Corralation between Astra Otoparts and Citra Marga

Assuming the 90 days trading horizon Astra Otoparts Tbk is expected to generate 1.95 times more return on investment than Citra Marga. However, Astra Otoparts is 1.95 times more volatile than Citra Marga Nusaphala. It trades about 0.04 of its potential returns per unit of risk. Citra Marga Nusaphala is currently generating about -0.07 per unit of risk. If you would invest  222,493  in Astra Otoparts Tbk on August 31, 2024 and sell it today you would earn a total of  8,507  from holding Astra Otoparts Tbk or generate 3.82% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Against
Strength	Very Weak
Accuracy	98.41%
Values	Daily Returns

Astra Otoparts Tbk  vs.  Citra Marga Nusaphala

Astra Otoparts Tbk

Risk-Adjusted Performance

3 of 100

Insignificant

Compared to the overall equity markets, risk-adjusted returns on investments in Astra Otoparts Tbk are ranked lower than 3 (%) of all global equities and portfolios over the last 90 days. Despite quite persistent forward-looking signals, Astra Otoparts is not utilizing all of its potentials. The latest stock price mess, may contribute to short-term losses for the institutional investors.

Citra Marga Nusaphala

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Citra Marga Nusaphala has generated negative risk-adjusted returns adding no value to investors with long positions. Despite quite persistent forward-looking signals, Citra Marga is not utilizing all of its potentials. The latest stock price mess, may contribute to short-term losses for the institutional investors.

Pair Trading with Astra Otoparts and Citra Marga

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

The idea behind Astra Otoparts Tbk and Citra Marga Nusaphala 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 Technical Analysis module to check basic technical indicators and analysis based on most latest market data.