Correlation Between Astra International and Thyssenkrupp

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

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

Diversification Opportunities for Astra International and Thyssenkrupp

-0.33

Correlation Coefficient

Astra International  Thyssenkrupp

Very good diversification

The 3 months correlation between Astra and Thyssenkrupp is -0.33. Overlapping area represents the amount of risk that can be diversified away by holding Astra International Tbk and Thyssenkrupp AG ADR in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Thyssenkrupp AG ADR and Astra International 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 International Tbk are associated (or correlated) with Thyssenkrupp. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Thyssenkrupp AG ADR has no effect on the direction of Astra International i.e., Astra International and Thyssenkrupp go up and down completely randomly.

Pair Corralation between Astra International and Thyssenkrupp

Assuming the 90 days horizon Astra International Tbk is expected to generate 0.68 times more return on investment than Thyssenkrupp. However, Astra International Tbk is 1.46 times less risky than Thyssenkrupp. It trades about -0.01 of its potential returns per unit of risk. Thyssenkrupp AG ADR is currently generating about -0.06 per unit of risk. If you would invest  664.00  in Astra International Tbk on September 25, 2024 and sell it today you would lose (68.00) from holding Astra International Tbk or give up 10.24% of portfolio value over 90 days.

Time Period	3 Months [change]
Direction	Moves Against
Strength	Insignificant
Accuracy	99.6%
Values	Daily Returns

Astra International Tbk  vs.  Thyssenkrupp AG ADR

Astra International Tbk

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Astra International Tbk has generated negative risk-adjusted returns adding no value to investors with long positions. In spite of latest abnormal performance, the Stock's forward indicators remain strong and the current disturbance on Wall Street may also be a sign of long term gains for the company investors.

Thyssenkrupp AG ADR

Risk-Adjusted Performance

5 of 100

Modest

Compared to the overall equity markets, risk-adjusted returns on investments in Thyssenkrupp AG ADR are ranked lower than 5 (%) of all global equities and portfolios over the last 90 days. In spite of fairly weak primary indicators, Thyssenkrupp showed solid returns over the last few months and may actually be approaching a breakup point.

Pair Trading with Astra International and Thyssenkrupp

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

The idea behind Astra International Tbk and Thyssenkrupp AG ADR 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 Stocks Directory module to find actively traded stocks across global markets.