Correlation Between Astra Otoparts and Delta Dunia
Can any of the company-specific risk be diversified away by investing in both Astra Otoparts and Delta Dunia 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 Delta Dunia 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 Delta Dunia Makmur, you can compare the effects of market volatilities on Astra Otoparts and Delta Dunia 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 Delta Dunia. Check out your portfolio center. Please also check ongoing floating volatility patterns of Astra Otoparts and Delta Dunia.
Diversification Opportunities for Astra Otoparts and Delta Dunia
0.89 | Correlation Coefficient |
Very poor diversification
The 3 months correlation between Astra and Delta is 0.89. Overlapping area represents the amount of risk that can be diversified away by holding Astra Otoparts Tbk and Delta Dunia Makmur in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Delta Dunia Makmur 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 Delta Dunia. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Delta Dunia Makmur has no effect on the direction of Astra Otoparts i.e., Astra Otoparts and Delta Dunia go up and down completely randomly.
Pair Corralation between Astra Otoparts and Delta Dunia
Assuming the 90 days trading horizon Astra Otoparts Tbk is expected to under-perform the Delta Dunia. But the stock apears to be less risky and, when comparing its historical volatility, Astra Otoparts Tbk is 2.16 times less risky than Delta Dunia. The stock trades about -0.11 of its potential returns per unit of risk. The Delta Dunia Makmur is currently generating about -0.05 of returns per unit of risk over similar time horizon. If you would invest 51,000 in Delta Dunia Makmur on November 24, 2024 and sell it today you would lose (2,000) from holding Delta Dunia Makmur or give up 3.92% of portfolio value over 90 days.
Time Period | 3 Months [change] |
Direction | Moves Together |
Strength | Strong |
Accuracy | 100.0% |
Values | Daily Returns |
Astra Otoparts Tbk vs. Delta Dunia Makmur
Performance |
Timeline |
Astra Otoparts Tbk |
Delta Dunia Makmur |
Astra Otoparts and Delta Dunia Volatility Contrast
Predicted Return Density |
Returns |
Pair Trading with Astra Otoparts and Delta Dunia
The main advantage of trading using opposite Astra Otoparts and Delta Dunia positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Astra Otoparts position performs unexpectedly, Delta Dunia 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 Delta Dunia will offset losses from the drop in Delta Dunia's long position.Astra Otoparts vs. Gajah Tunggal Tbk | ||
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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 Idea Breakdown module to analyze constituents of all Macroaxis ideas. Macroaxis investment ideas are predefined, sector-focused investing themes.
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