Correlation Between Astra Graphia and Arwana Citramulia

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

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

Diversification Opportunities for Astra Graphia and Arwana Citramulia

0.7

Correlation Coefficient

Astra Graphia  Arwana Citramulia

Poor diversification

The 3 months correlation between Astra and Arwana is 0.7. Overlapping area represents the amount of risk that can be diversified away by holding Astra Graphia Tbk and Arwana Citramulia Tbk in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Arwana Citramulia Tbk and Astra Graphia 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 Astra Graphia Tbk are associated (or correlated) with Arwana Citramulia. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Arwana Citramulia Tbk has no effect on the direction of Astra Graphia i.e., Astra Graphia and Arwana Citramulia go up and down completely randomly.

Pair Corralation between Astra Graphia and Arwana Citramulia

Assuming the 90 days trading horizon Astra Graphia is expected to generate 2.09 times less return on investment than Arwana Citramulia. But when comparing it to its historical volatility, Astra Graphia Tbk is 1.24 times less risky than Arwana Citramulia. It trades about 0.06 of its potential returns per unit of risk. Arwana Citramulia Tbk is currently generating about 0.11 of returns per unit of risk over similar time horizon. If you would invest  68,000  in Arwana Citramulia Tbk on September 5, 2024 and sell it today you would earn a total of  6,000  from holding Arwana Citramulia Tbk or generate 8.82% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Together
Strength	Significant
Accuracy	98.41%
Values	Daily Returns

Astra Graphia Tbk  vs.  Arwana Citramulia Tbk

Astra Graphia Tbk

Risk-Adjusted Performance

4 of 100

Insignificant

Compared to the overall equity markets, risk-adjusted returns on investments in Astra Graphia Tbk are ranked lower than 4 (%) of all global equities and portfolios over the last 90 days. Despite quite persistent forward-looking signals, Astra Graphia is not utilizing all of its potentials. The latest stock price mess, may contribute to short-term losses for the institutional investors.

Arwana Citramulia Tbk

Risk-Adjusted Performance

8 of 100

OK

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

Pair Trading with Astra Graphia and Arwana Citramulia

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

The idea behind Astra Graphia Tbk and Arwana Citramulia 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 Share Portfolio module to track or share privately all of your investments from the convenience of any device.