Correlation Between Garuda Indonesia and Ancora Indonesia

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

By analyzing existing cross correlation between Garuda Indonesia Persero and Ancora Indonesia Resources, you can compare the effects of market volatilities on Garuda Indonesia and Ancora Indonesia 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 Garuda Indonesia with a short position of Ancora Indonesia. Check out your portfolio center. Please also check ongoing floating volatility patterns of Garuda Indonesia and Ancora Indonesia.

Diversification Opportunities for Garuda Indonesia and Ancora Indonesia

0.77

Correlation Coefficient

Garuda Indonesia  Ancora Indonesia

Poor diversification

The 3 months correlation between Garuda and Ancora is 0.77. Overlapping area represents the amount of risk that can be diversified away by holding Garuda Indonesia Persero and Ancora Indonesia Resources in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Ancora Indonesia Res and Garuda Indonesia 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 Garuda Indonesia Persero are associated (or correlated) with Ancora Indonesia. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Ancora Indonesia Res has no effect on the direction of Garuda Indonesia i.e., Garuda Indonesia and Ancora Indonesia go up and down completely randomly.

Pair Corralation between Garuda Indonesia and Ancora Indonesia

Assuming the 90 days trading horizon Garuda Indonesia Persero is expected to generate 0.91 times more return on investment than Ancora Indonesia. However, Garuda Indonesia Persero is 1.1 times less risky than Ancora Indonesia. It trades about -0.02 of its potential returns per unit of risk. Ancora Indonesia Resources is currently generating about -0.05 per unit of risk. If you would invest  6,300  in Garuda Indonesia Persero on September 3, 2024 and sell it today you would lose (300.00) from holding Garuda Indonesia Persero or give up 4.76% of portfolio value over 90 days.

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

Garuda Indonesia Persero  vs.  Ancora Indonesia Resources

Garuda Indonesia Persero

Risk-Adjusted Performance

0 of 100

Very Weak

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

Ancora Indonesia Res

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Ancora Indonesia Resources has generated negative risk-adjusted returns adding no value to investors with long positions. Despite latest conflicting performance, the Stock's forward-looking signals remain persistent and the latest mess on Wall Street may also be a sign of long-standing gains for the company institutional investors.

Pair Trading with Garuda Indonesia and Ancora Indonesia

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

The idea behind Garuda Indonesia Persero and Ancora Indonesia Resources 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.