Correlation Between Gozco Plantations and Itama Ranoraya

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

By analyzing existing cross correlation between Gozco Plantations Tbk and Itama Ranoraya, you can compare the effects of market volatilities on Gozco Plantations and Itama Ranoraya 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 Gozco Plantations with a short position of Itama Ranoraya. Check out your portfolio center. Please also check ongoing floating volatility patterns of Gozco Plantations and Itama Ranoraya.

Diversification Opportunities for Gozco Plantations and Itama Ranoraya

-0.58

Correlation Coefficient

Gozco Plantations  Itama Ranoraya

Excellent diversification

The 3 months correlation between Gozco and Itama is -0.58. Overlapping area represents the amount of risk that can be diversified away by holding Gozco Plantations Tbk and Itama Ranoraya in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Itama Ranoraya and Gozco Plantations 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 Gozco Plantations Tbk are associated (or correlated) with Itama Ranoraya. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Itama Ranoraya has no effect on the direction of Gozco Plantations i.e., Gozco Plantations and Itama Ranoraya go up and down completely randomly.

Pair Corralation between Gozco Plantations and Itama Ranoraya

Assuming the 90 days trading horizon Gozco Plantations Tbk is expected to generate 2.27 times more return on investment than Itama Ranoraya. However, Gozco Plantations is 2.27 times more volatile than Itama Ranoraya. It trades about -0.05 of its potential returns per unit of risk. Itama Ranoraya is currently generating about -0.48 per unit of risk. If you would invest  10,100  in Gozco Plantations Tbk on September 1, 2024 and sell it today you would lose (300.00) from holding Gozco Plantations Tbk or give up 2.97% of portfolio value over 90 days.

Time Period	3 Months [change]
Direction	Moves Against
Strength	Very Weak
Accuracy	100.0%
Values	Daily Returns

Gozco Plantations Tbk  vs.  Itama Ranoraya

Gozco Plantations Tbk

Risk-Adjusted Performance

6 of 100

Modest

Compared to the overall equity markets, risk-adjusted returns on investments in Gozco Plantations Tbk are ranked lower than 6 (%) of all global equities and portfolios over the last 90 days. Despite quite conflicting forward-looking signals, Gozco Plantations may actually be approaching a critical reversion point that can send shares even higher in December 2024.

Itama Ranoraya

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Itama Ranoraya has generated negative risk-adjusted returns adding no value to investors with long positions. Despite conflicting performance in the last few months, the Stock's forward-looking signals remain quite persistent which may send shares a bit higher in December 2024. The latest mess may also be a sign of long-standing up-swing for the company institutional investors.

Pair Trading with Gozco Plantations and Itama Ranoraya

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

The idea behind Gozco Plantations Tbk and Itama Ranoraya 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 Portfolio Holdings module to check your current holdings and cash postion to detemine if your portfolio needs rebalancing.