Correlation Between Pembangunan Jaya and Pembangunan Graha

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

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

Diversification Opportunities for Pembangunan Jaya and Pembangunan Graha

-0.65

Correlation Coefficient

Pembangunan Jaya  Pembangunan Graha

Excellent diversification

The 3 months correlation between Pembangunan and Pembangunan is -0.65. Overlapping area represents the amount of risk that can be diversified away by holding Pembangunan Jaya Ancol and Pembangunan Graha Lestari in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Pembangunan Graha Lestari and Pembangunan Jaya 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 Jaya Ancol are associated (or correlated) with Pembangunan Graha. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Pembangunan Graha Lestari has no effect on the direction of Pembangunan Jaya i.e., Pembangunan Jaya and Pembangunan Graha go up and down completely randomly.

Pair Corralation between Pembangunan Jaya and Pembangunan Graha

Assuming the 90 days trading horizon Pembangunan Jaya Ancol is expected to under-perform the Pembangunan Graha. But the stock apears to be less risky and, when comparing its historical volatility, Pembangunan Jaya Ancol is 3.7 times less risky than Pembangunan Graha. The stock trades about -0.22 of its potential returns per unit of risk. The Pembangunan Graha Lestari is currently generating about 0.06 of returns per unit of risk over similar time horizon. If you would invest  17,200  in Pembangunan Graha Lestari on September 12, 2024 and sell it today you would earn a total of  1,500  from holding Pembangunan Graha Lestari or generate 8.72% return on investment over 90 days.

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

Pembangunan Jaya Ancol  vs.  Pembangunan Graha Lestari

Pembangunan Jaya Ancol

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Pembangunan Jaya Ancol 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.

Pembangunan Graha Lestari

Risk-Adjusted Performance

4 of 100

Insignificant

Compared to the overall equity markets, risk-adjusted returns on investments in Pembangunan Graha Lestari are ranked lower than 4 (%) 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.

Pair Trading with Pembangunan Jaya and Pembangunan Graha

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

The idea behind Pembangunan Jaya Ancol and Pembangunan Graha 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 Positions Ratings module to determine portfolio positions ratings based on digital equity recommendations. Macroaxis instant position ratings are based on combination of fundamental analysis and risk-adjusted market performance.