Correlation Between PT Bank and PT Astra

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

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

Diversification Opportunities for PT Bank and PT Astra

0.6

Correlation Coefficient

PT Bank  PT Astra

Poor diversification

The 3 months correlation between BKRKF and PTAIF is 0.6. Overlapping area represents the amount of risk that can be diversified away by holding PT Bank Rakyat and PT Astra International in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on PT Astra International and PT Bank 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 Bank Rakyat are associated (or correlated) with PT Astra. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of PT Astra International has no effect on the direction of PT Bank i.e., PT Bank and PT Astra go up and down completely randomly.

Pair Corralation between PT Bank and PT Astra

Assuming the 90 days horizon PT Bank Rakyat is expected to generate 4.23 times more return on investment than PT Astra. However, PT Bank is 4.23 times more volatile than PT Astra International. It trades about 0.12 of its potential returns per unit of risk. PT Astra International is currently generating about -0.23 per unit of risk. If you would invest  21.00  in PT Bank Rakyat on October 20, 2024 and sell it today you would earn a total of  3.00  from holding PT Bank Rakyat or generate 14.29% return on investment over 90 days.

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

PT Bank Rakyat  vs.  PT Astra International

PT Bank Rakyat

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days PT Bank Rakyat has generated negative risk-adjusted returns adding no value to investors with long positions. Despite weak performance in the last few months, the Stock's forward-looking signals remain nearly stable which may send shares a bit higher in February 2025. The current disturbance may also be a sign of long-run up-swing for the company stockholders.

PT Astra International

Risk-Adjusted Performance

0 of 100

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 unfluctuating performance in the last few months, the Stock's forward indicators remain nearly stable which may send shares a bit higher in February 2025. The current disturbance may also be a sign of long-run up-swing for the company stockholders.

Pair Trading with PT Bank and PT Astra

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

The idea behind PT Bank Rakyat and PT Astra International 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 Economic Indicators module to top statistical indicators that provide insights into how an economy is performing.