Correlation Between Sawit Sumbermas and Astra International

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

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

Diversification Opportunities for Sawit Sumbermas and Astra International

0.21

Correlation Coefficient

Sawit Sumbermas  Astra International

Modest diversification

The 3 months correlation between Sawit and Astra is 0.21. Overlapping area represents the amount of risk that can be diversified away by holding Sawit Sumbermas Sarana 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 Sawit Sumbermas 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 Sawit Sumbermas Sarana 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 Sawit Sumbermas i.e., Sawit Sumbermas and Astra International go up and down completely randomly.

Pair Corralation between Sawit Sumbermas and Astra International

Assuming the 90 days trading horizon Sawit Sumbermas is expected to generate 2.49 times less return on investment than Astra International. In addition to that, Sawit Sumbermas is 2.6 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 0.06 per unit of volatility. If you would invest  492,797  in Astra International Tbk on September 12, 2024 and sell it today you would earn a total of  27,203  from holding Astra International Tbk or generate 5.52% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Together
Strength	Very Weak
Accuracy	100.0%
Values	Daily Returns

Sawit Sumbermas Sarana  vs.  Astra International Tbk

Sawit Sumbermas Sarana

Risk-Adjusted Performance

0 of 100

Very Weak

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

Astra International Tbk

Risk-Adjusted Performance

4 of 100

Insignificant

Compared to the overall equity markets, risk-adjusted returns on investments in Astra International Tbk are ranked lower than 4 (%) of all global equities and portfolios over the last 90 days. Despite quite conflicting forward-looking signals, Astra International may actually be approaching a critical reversion point that can send shares even higher in January 2025.

Pair Trading with Sawit Sumbermas and Astra International

The main advantage of trading using opposite Sawit Sumbermas and Astra International positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Sawit Sumbermas 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 Sawit Sumbermas Sarana 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 Portfolio Anywhere module to track or share privately all of your investments from the convenience of any device.