Correlation Between Mahkota Group and Astra International
Can any of the company-specific risk be diversified away by investing in both Mahkota Group and Astra International 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 Mahkota Group and Astra International into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Mahkota Group Tbk and Astra International Tbk, you can compare the effects of market volatilities on Mahkota Group and Astra International 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 Mahkota Group with a short position of Astra International. Check out your portfolio center. Please also check ongoing floating volatility patterns of Mahkota Group and Astra International.
Diversification Opportunities for Mahkota Group and Astra International
0.69 | Correlation Coefficient |
Poor diversification
The 3 months correlation between Mahkota and Astra is 0.69. Overlapping area represents the amount of risk that can be diversified away by holding Mahkota Group Tbk and Astra International Tbk in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Astra International Tbk and Mahkota Group 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 Mahkota Group Tbk are associated (or correlated) with Astra International. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Astra International Tbk has no effect on the direction of Mahkota Group i.e., Mahkota Group and Astra International go up and down completely randomly.
Pair Corralation between Mahkota Group and Astra International
Assuming the 90 days trading horizon Mahkota Group Tbk is expected to generate 0.79 times more return on investment than Astra International. However, Mahkota Group Tbk is 1.27 times less risky than Astra International. It trades about -0.01 of its potential returns per unit of risk. Astra International Tbk is currently generating about -0.1 per unit of risk. If you would invest 67,500 in Mahkota Group Tbk on December 2, 2024 and sell it today you would lose (1,000.00) from holding Mahkota Group Tbk or give up 1.48% of portfolio value over 90 days.
Time Period | 3 Months [change] |
Direction | Moves Together |
Strength | Significant |
Accuracy | 100.0% |
Values | Daily Returns |
Mahkota Group Tbk vs. Astra International Tbk
Performance |
Timeline |
Mahkota Group Tbk |
Astra International Tbk |
Mahkota Group and Astra International Volatility Contrast
Predicted Return Density |
Returns |
Pair Trading with Mahkota Group and Astra International
The main advantage of trading using opposite Mahkota Group and Astra International positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Mahkota Group position performs unexpectedly, Astra International 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 International will offset losses from the drop in Astra International's long position.Mahkota Group vs. Austindo Nusantara Jaya | Mahkota Group vs. Garudafood Putra Putri | Mahkota Group vs. Provident Agro Tbk | Mahkota Group vs. Dharma Satya Nusantara |
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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 Fundamental Analysis module to view fundamental data based on most recent published financial statements.
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