Correlation Between PT Astra and Grand Havana

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

By analyzing existing cross correlation between PT Astra International and Grand Havana, you can compare the effects of market volatilities on PT Astra and Grand Havana 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 PT Astra with a short position of Grand Havana. Check out your portfolio center. Please also check ongoing floating volatility patterns of PT Astra and Grand Havana.

Diversification Opportunities for PT Astra and Grand Havana

-0.26

Correlation Coefficient

PT Astra  Grand Havana

Very good diversification

The 3 months correlation between PTAIF and Grand is -0.26. Overlapping area represents the amount of risk that can be diversified away by holding PT Astra International and Grand Havana in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Grand Havana and PT Astra 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 PT Astra International are associated (or correlated) with Grand Havana. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Grand Havana has no effect on the direction of PT Astra i.e., PT Astra and Grand Havana go up and down completely randomly.

Pair Corralation between PT Astra and Grand Havana

Assuming the 90 days horizon PT Astra is expected to generate 3.31 times less return on investment than Grand Havana. But when comparing it to its historical volatility, PT Astra International is 2.66 times less risky than Grand Havana. It trades about 0.03 of its potential returns per unit of risk. Grand Havana is currently generating about 0.04 of returns per unit of risk over similar time horizon. If you would invest  0.05  in Grand Havana on December 28, 2024 and sell it today you would earn a total of  0.00  from holding Grand Havana or generate 0.0% return on investment over 90 days.

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

PT Astra International  vs.  Grand Havana

PT Astra International

Risk-Adjusted Performance

Weak

Compared to the overall equity markets, risk-adjusted returns on investments in PT Astra International are ranked lower than 2 (%) of all global equities and portfolios over the last 90 days. Despite nearly weak forward indicators, PT Astra may actually be approaching a critical reversion point that can send shares even higher in April 2025.

Grand Havana

Risk-Adjusted Performance

Insignificant

Compared to the overall equity markets, risk-adjusted returns on investments in Grand Havana are ranked lower than 3 (%) of all global equities and portfolios over the last 90 days. In spite of fairly unfluctuating basic indicators, Grand Havana showed solid returns over the last few months and may actually be approaching a breakup point.

Pair Trading with PT Astra and Grand Havana

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

The idea behind PT Astra International and Grand Havana 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 Equity Valuation module to check real value of public entities based on technical and fundamental data.