Correlation Between Pembangunan Graha and MAP Aktif

Can any of the company-specific risk be diversified away by investing in both Pembangunan Graha and MAP Aktif 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 Pembangunan Graha and MAP Aktif into the same portfolio, which is an essential part of the fundamental portfolio management process.

By analyzing existing cross correlation between Pembangunan Graha Lestari and MAP Aktif Adiperkasa, you can compare the effects of market volatilities on Pembangunan Graha and MAP Aktif 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 Pembangunan Graha with a short position of MAP Aktif. Check out your portfolio center. Please also check ongoing floating volatility patterns of Pembangunan Graha and MAP Aktif.

Diversification Opportunities for Pembangunan Graha and MAP Aktif

0.59

Correlation Coefficient

Pembangunan Graha  MAP Aktif

Very weak diversification

The 3 months correlation between Pembangunan and MAP is 0.59. Overlapping area represents the amount of risk that can be diversified away by holding Pembangunan Graha Lestari and MAP Aktif Adiperkasa in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on MAP Aktif Adiperkasa and Pembangunan Graha 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 Pembangunan Graha Lestari are associated (or correlated) with MAP Aktif. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of MAP Aktif Adiperkasa has no effect on the direction of Pembangunan Graha i.e., Pembangunan Graha and MAP Aktif go up and down completely randomly.

Pair Corralation between Pembangunan Graha and MAP Aktif

Assuming the 90 days trading horizon Pembangunan Graha is expected to generate 1.54 times less return on investment than MAP Aktif. In addition to that, Pembangunan Graha is 1.04 times more volatile than MAP Aktif Adiperkasa. It trades about 0.04 of its total potential returns per unit of risk. MAP Aktif Adiperkasa is currently generating about 0.07 per unit of volatility. If you would invest  93,000  in MAP Aktif Adiperkasa on September 18, 2024 and sell it today you would earn a total of  10,000  from holding MAP Aktif Adiperkasa or generate 10.75% return on investment over 90 days.

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

Pembangunan Graha Lestari  vs.  MAP Aktif Adiperkasa

Pembangunan Graha Lestari

Risk-Adjusted Performance

3 of 100

Insignificant

Compared to the overall equity markets, risk-adjusted returns on investments in Pembangunan Graha Lestari are ranked lower than 3 (%) of all global equities and portfolios over the last 90 days. Despite quite conflicting forward-looking signals, Pembangunan Graha may actually be approaching a critical reversion point that can send shares even higher in January 2025.

MAP Aktif Adiperkasa

Risk-Adjusted Performance

5 of 100

Modest

Compared to the overall equity markets, risk-adjusted returns on investments in MAP Aktif Adiperkasa are ranked lower than 5 (%) of all global equities and portfolios over the last 90 days. Despite quite conflicting forward-looking signals, MAP Aktif disclosed solid returns over the last few months and may actually be approaching a breakup point.

Pair Trading with Pembangunan Graha and MAP Aktif

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

The idea behind Pembangunan Graha Lestari and MAP Aktif Adiperkasa 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.

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 Alpha Finder module to use alpha and beta coefficients to find investment opportunities after accounting for the risk.