Correlation Between Gaya Abadi and Bima Sakti

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

By analyzing existing cross correlation between Gaya Abadi Sempurna and Bima Sakti Pertiwi, you can compare the effects of market volatilities on Gaya Abadi and Bima Sakti 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 Gaya Abadi with a short position of Bima Sakti. Check out your portfolio center. Please also check ongoing floating volatility patterns of Gaya Abadi and Bima Sakti.

Diversification Opportunities for Gaya Abadi and Bima Sakti

0.7

Correlation Coefficient

Gaya Abadi  Bima Sakti

Poor diversification

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

Pair Corralation between Gaya Abadi and Bima Sakti

Assuming the 90 days trading horizon Gaya Abadi Sempurna is expected to under-perform the Bima Sakti. But the stock apears to be less risky and, when comparing its historical volatility, Gaya Abadi Sempurna is 1.18 times less risky than Bima Sakti. The stock trades about -0.16 of its potential returns per unit of risk. The Bima Sakti Pertiwi is currently generating about -0.01 of returns per unit of risk over similar time horizon. If you would invest  5,200  in Bima Sakti Pertiwi on September 15, 2024 and sell it today you would lose (100.00) from holding Bima Sakti Pertiwi or give up 1.92% of portfolio value over 90 days.

Time Period	3 Months [change]
Direction	Moves Together
Strength	Significant
Accuracy	98.44%
Values	Daily Returns

Gaya Abadi Sempurna  vs.  Bima Sakti Pertiwi

Gaya Abadi Sempurna

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Gaya Abadi Sempurna has generated negative risk-adjusted returns adding no value to investors with long positions. Despite conflicting performance in the last few months, the Stock's forward-looking signals remain quite persistent which may send shares a bit higher in January 2025. The latest mess may also be a sign of long-standing up-swing for the company institutional investors.

Bima Sakti Pertiwi

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Bima Sakti Pertiwi has generated negative risk-adjusted returns adding no value to investors with long positions. Despite quite persistent forward-looking signals, Bima Sakti is not utilizing all of its potentials. The latest stock price mess, may contribute to short-term losses for the institutional investors.

Pair Trading with Gaya Abadi and Bima Sakti

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

The idea behind Gaya Abadi Sempurna and Bima Sakti Pertiwi 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 Piotroski F Score module to get Piotroski F Score based on the binary analysis strategy of nine different fundamentals.