Correlation Between Austindo Nusantara and Astra Agro

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

By analyzing existing cross correlation between Austindo Nusantara Jaya and Astra Agro Lestari, you can compare the effects of market volatilities on Austindo Nusantara and Astra Agro 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 Austindo Nusantara with a short position of Astra Agro. Check out your portfolio center. Please also check ongoing floating volatility patterns of Austindo Nusantara and Astra Agro.

Diversification Opportunities for Austindo Nusantara and Astra Agro

-0.06

Correlation Coefficient

Austindo Nusantara  Astra Agro

Good diversification

The 3 months correlation between Austindo and Astra is -0.06. Overlapping area represents the amount of risk that can be diversified away by holding Austindo Nusantara Jaya and Astra Agro Lestari in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Astra Agro Lestari and Austindo Nusantara 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 Austindo Nusantara Jaya are associated (or correlated) with Astra Agro. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Astra Agro Lestari has no effect on the direction of Austindo Nusantara i.e., Austindo Nusantara and Astra Agro go up and down completely randomly.

Pair Corralation between Austindo Nusantara and Astra Agro

Assuming the 90 days trading horizon Austindo Nusantara Jaya is expected to generate 0.82 times more return on investment than Astra Agro. However, Austindo Nusantara Jaya is 1.22 times less risky than Astra Agro. It trades about 0.11 of its potential returns per unit of risk. Astra Agro Lestari is currently generating about -0.01 per unit of risk. If you would invest  69,000  in Austindo Nusantara Jaya on September 16, 2024 and sell it today you would earn a total of  5,000  from holding Austindo Nusantara Jaya or generate 7.25% return on investment over 90 days.

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

Austindo Nusantara Jaya  vs.  Astra Agro Lestari

Austindo Nusantara Jaya

Risk-Adjusted Performance

8 of 100

OK

Compared to the overall equity markets, risk-adjusted returns on investments in Austindo Nusantara Jaya are ranked lower than 8 (%) of all global equities and portfolios over the last 90 days. Despite quite conflicting forward-looking signals, Austindo Nusantara may actually be approaching a critical reversion point that can send shares even higher in January 2025.

Astra Agro Lestari

Risk-Adjusted Performance

0 of 100

Very Weak

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

Pair Trading with Austindo Nusantara and Astra Agro

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

The idea behind Austindo Nusantara Jaya and Astra Agro Lestari 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 Volatility module to check portfolio volatility and analyze historical return density to properly model market risk.