Correlation Between Perusahaan Gas and Solusi Bangun

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

By analyzing existing cross correlation between Perusahaan Gas Negara and Solusi Bangun Indonesia, you can compare the effects of market volatilities on Perusahaan Gas and Solusi Bangun 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 Perusahaan Gas with a short position of Solusi Bangun. Check out your portfolio center. Please also check ongoing floating volatility patterns of Perusahaan Gas and Solusi Bangun.

Diversification Opportunities for Perusahaan Gas and Solusi Bangun

-0.14

Correlation Coefficient

Perusahaan Gas  Solusi Bangun

Good diversification

The 3 months correlation between Perusahaan and Solusi is -0.14. Overlapping area represents the amount of risk that can be diversified away by holding Perusahaan Gas Negara and Solusi Bangun Indonesia in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Solusi Bangun Indonesia and Perusahaan Gas 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 Perusahaan Gas Negara are associated (or correlated) with Solusi Bangun. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Solusi Bangun Indonesia has no effect on the direction of Perusahaan Gas i.e., Perusahaan Gas and Solusi Bangun go up and down completely randomly.

Pair Corralation between Perusahaan Gas and Solusi Bangun

Assuming the 90 days trading horizon Perusahaan Gas Negara is expected to under-perform the Solusi Bangun. In addition to that, Perusahaan Gas is 1.38 times more volatile than Solusi Bangun Indonesia. It trades about -0.05 of its total potential returns per unit of risk. Solusi Bangun Indonesia is currently generating about 0.08 per unit of volatility. If you would invest  72,500  in Solusi Bangun Indonesia on September 1, 2024 and sell it today you would earn a total of  1,500  from holding Solusi Bangun Indonesia or generate 2.07% return on investment over 90 days.

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

Perusahaan Gas Negara  vs.  Solusi Bangun Indonesia

Perusahaan Gas Negara

Risk-Adjusted Performance

0 of 100

Very Weak

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

Solusi Bangun Indonesia

Risk-Adjusted Performance

4 of 100

Insignificant

Compared to the overall equity markets, risk-adjusted returns on investments in Solusi Bangun Indonesia are ranked lower than 4 (%) of all global equities and portfolios over the last 90 days. Despite quite conflicting forward-looking signals, Solusi Bangun may actually be approaching a critical reversion point that can send shares even higher in December 2024.

Pair Trading with Perusahaan Gas and Solusi Bangun

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

The idea behind Perusahaan Gas Negara and Solusi Bangun Indonesia 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 Options Analysis module to analyze and evaluate options and option chains as a potential hedge for your portfolios.