Correlation Between Astra Graphia and Bank Negara

Can any of the company-specific risk be diversified away by investing in both Astra Graphia and Bank Negara 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 Bank Negara 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 Bank Negara Indonesia, you can compare the effects of market volatilities on Astra Graphia and Bank Negara 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 Bank Negara. Check out your portfolio center. Please also check ongoing floating volatility patterns of Astra Graphia and Bank Negara.

Diversification Opportunities for Astra Graphia and Bank Negara

-0.27

Correlation Coefficient

Astra Graphia  Bank Negara

Very good diversification

The 3 months correlation between Astra and Bank is -0.27. Overlapping area represents the amount of risk that can be diversified away by holding Astra Graphia Tbk and Bank Negara Indonesia in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Bank Negara Indonesia 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 Bank Negara. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Bank Negara Indonesia has no effect on the direction of Astra Graphia i.e., Astra Graphia and Bank Negara go up and down completely randomly.

Pair Corralation between Astra Graphia and Bank Negara

Assuming the 90 days trading horizon Astra Graphia Tbk is not expected to generate positive returns. However, Astra Graphia Tbk is 1.62 times less risky than Bank Negara. It waists most of its returns potential to compensate for thr risk taken. Bank Negara is generating about 0.0 per unit of risk. If you would invest  493,897  in Bank Negara Indonesia on September 4, 2024 and sell it today you would lose (15,897) from holding Bank Negara Indonesia or give up 3.22% of portfolio value over 90 days.

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

Astra Graphia Tbk  vs.  Bank Negara Indonesia

Astra Graphia Tbk

Risk-Adjusted Performance

5 of 100

Modest

Compared to the overall equity markets, risk-adjusted returns on investments in Astra Graphia Tbk are ranked lower than 5 (%) 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.

Bank Negara Indonesia

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Bank Negara Indonesia has generated negative risk-adjusted returns adding no value to investors with long positions. Despite latest conflicting performance, the Stock's forward-looking signals remain persistent and the latest mess on Wall Street may also be a sign of long-standing gains for the company institutional investors.

Pair Trading with Astra Graphia and Bank Negara

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

The idea behind Astra Graphia Tbk and Bank Negara Indonesia 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 Fundamentals Comparison module to compare fundamentals across multiple equities to find investing opportunities.