Correlation Between PT Astra and Sandvik AB
Can any of the company-specific risk be diversified away by investing in both PT Astra and Sandvik AB 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 Sandvik AB 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 Sandvik AB ADR, you can compare the effects of market volatilities on PT Astra and Sandvik AB 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 Sandvik AB. Check out your portfolio center. Please also check ongoing floating volatility patterns of PT Astra and Sandvik AB.
Diversification Opportunities for PT Astra and Sandvik AB
0.28 | Correlation Coefficient |
Modest diversification
The 3 months correlation between PTAIF and Sandvik is 0.28. Overlapping area represents the amount of risk that can be diversified away by holding PT Astra International and Sandvik AB ADR in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Sandvik AB ADR 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 Sandvik AB. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Sandvik AB ADR has no effect on the direction of PT Astra i.e., PT Astra and Sandvik AB go up and down completely randomly.
Pair Corralation between PT Astra and Sandvik AB
Assuming the 90 days horizon PT Astra is expected to generate 2.7 times less return on investment than Sandvik AB. In addition to that, PT Astra is 1.68 times more volatile than Sandvik AB ADR. It trades about 0.03 of its total potential returns per unit of risk. Sandvik AB ADR is currently generating about 0.16 per unit of volatility. If you would invest 1,804 in Sandvik AB ADR on December 29, 2024 and sell it today you would earn a total of 384.00 from holding Sandvik AB ADR or generate 21.29% return on investment over 90 days.
Time Period | 3 Months [change] |
Direction | Moves Together |
Strength | Very Weak |
Accuracy | 100.0% |
Values | Daily Returns |
PT Astra International vs. Sandvik AB ADR
Performance |
Timeline |
PT Astra International |
Sandvik AB ADR |
PT Astra and Sandvik AB Volatility Contrast
Predicted Return Density |
Returns |
Pair Trading with PT Astra and Sandvik AB
The main advantage of trading using opposite PT Astra and Sandvik AB positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if PT Astra position performs unexpectedly, Sandvik AB 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 Sandvik AB will offset losses from the drop in Sandvik AB's long position.PT Astra vs. Allison Transmission Holdings | PT Astra vs. Luminar Technologies | PT Astra vs. Quantumscape Corp | PT Astra vs. Lear Corporation |
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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 Portfolio Rebalancing module to analyze risk-adjusted returns against different time horizons to find asset-allocation targets.
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