Correlation Between PT Astra and Astra International

Can any of the company-specific risk be diversified away by investing in both PT Astra 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 PT Astra and Astra International 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 Astra International Tbk, you can compare the effects of market volatilities on PT Astra 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 PT Astra with a short position of Astra International. Check out your portfolio center. Please also check ongoing floating volatility patterns of PT Astra and Astra International.

Diversification Opportunities for PT Astra and Astra International

-0.42

Correlation Coefficient

PT Astra  Astra International

Very good diversification

The 3 months correlation between PTAIF and Astra is -0.42. Overlapping area represents the amount of risk that can be diversified away by holding PT Astra International 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 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 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 PT Astra i.e., PT Astra and Astra International go up and down completely randomly.

Pair Corralation between PT Astra and Astra International

Assuming the 90 days horizon PT Astra International is expected to under-perform the Astra International. In addition to that, PT Astra is 1.78 times more volatile than Astra International Tbk. It trades about -0.01 of its total potential returns per unit of risk. Astra International Tbk is currently generating about -0.02 per unit of volatility. If you would invest  771.00  in Astra International Tbk on September 12, 2024 and sell it today you would lose (123.00) from holding Astra International Tbk or give up 15.95% of portfolio value over 90 days.

Time Period	3 Months [change]
Direction	Moves Against
Strength	Very Weak
Accuracy	48.86%
Values	Daily Returns

PT Astra International  vs.  Astra International Tbk

PT Astra International

Risk-Adjusted Performance

12 of 100

Good

Compared to the overall equity markets, risk-adjusted returns on investments in PT Astra International are ranked lower than 12 (%) of all global equities and portfolios over the last 90 days. Despite nearly unfluctuating forward indicators, PT Astra reported solid returns over the last few months and may actually be approaching a breakup point.

Astra International Tbk

Risk-Adjusted Performance

1 of 100

Weak

Compared to the overall equity markets, risk-adjusted returns on investments in Astra International Tbk are ranked lower than 1 (%) of all global equities and portfolios over the last 90 days. In spite of fairly strong forward indicators, Astra International is not utilizing all of its potentials. The current stock price disturbance, may contribute to short-term losses for the investors.

Pair Trading with PT Astra and Astra International

The main advantage of trading using opposite PT Astra and Astra International positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if PT Astra 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.

The idea behind PT Astra International and Astra International 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 Premium Stories module to follow Macroaxis premium stories from verified contributors across different equity types, categories and coverage scope.