Correlation Between Matahari Department and Astra Graphia

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

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

Diversification Opportunities for Matahari Department and Astra Graphia

-0.63

Correlation Coefficient

Matahari Department  Astra Graphia

Excellent diversification

The 3 months correlation between Matahari and Astra is -0.63. Overlapping area represents the amount of risk that can be diversified away by holding Matahari Department Store and Astra Graphia Tbk in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Astra Graphia Tbk and Matahari Department 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 Matahari Department Store are associated (or correlated) with Astra Graphia. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Astra Graphia Tbk has no effect on the direction of Matahari Department i.e., Matahari Department and Astra Graphia go up and down completely randomly.

Pair Corralation between Matahari Department and Astra Graphia

Assuming the 90 days trading horizon Matahari Department Store is expected to generate 1.57 times more return on investment than Astra Graphia. However, Matahari Department is 1.57 times more volatile than Astra Graphia Tbk. It trades about 0.26 of its potential returns per unit of risk. Astra Graphia Tbk is currently generating about -0.07 per unit of risk. If you would invest  141,500  in Matahari Department Store on December 31, 2024 and sell it today you would earn a total of  51,000  from holding Matahari Department Store or generate 36.04% return on investment over 90 days.

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

Matahari Department Store  vs.  Astra Graphia Tbk

Matahari Department Store

Risk-Adjusted Performance

Solid

Compared to the overall equity markets, risk-adjusted returns on investments in Matahari Department Store are ranked lower than 20 (%) of all global equities and portfolios over the last 90 days. Despite quite conflicting forward-looking signals, Matahari Department disclosed solid returns over the last few months and may actually be approaching a breakup point.

Astra Graphia Tbk

Risk-Adjusted Performance

Very Weak

Over the last 90 days Astra Graphia Tbk has generated negative risk-adjusted returns adding no value to investors with long positions. Despite quite persistent forward-looking signals, Astra Graphia 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 Matahari Department and Astra Graphia

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

The idea behind Matahari Department Store and Astra Graphia Tbk 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 Equity Valuation module to check real value of public entities based on technical and fundamental data.