Correlation Between PT Astra and ABN AMRO

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

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

Diversification Opportunities for PT Astra and ABN AMRO

0.0

Correlation Coefficient

PT Astra  ABN AMRO

Pay attention - limited upside

The 3 months correlation between PTAIF and ABN is 0.0. Overlapping area represents the amount of risk that can be diversified away by holding PT Astra International and ABN AMRO Bank in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on ABN AMRO Bank and PT Astra 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 PT Astra International are associated (or correlated) with ABN AMRO. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of ABN AMRO Bank has no effect on the direction of PT Astra i.e., PT Astra and ABN AMRO go up and down completely randomly.

Pair Corralation between PT Astra and ABN AMRO

If you would invest (100.00) in ABN AMRO Bank on February 20, 2024 and sell it today you would earn a total of  100.00  from holding ABN AMRO Bank or generate -100.0% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Flat
Strength	Insignificant
Accuracy	0.0%
Values	Daily Returns

PT Astra International  vs.  ABN AMRO Bank

PT Astra International

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days PT Astra International has generated negative risk-adjusted returns adding no value to investors with long positions. Despite nearly stable forward indicators, PT Astra is not utilizing all of its potentials. The recent stock price disturbance, may contribute to mid-run losses for the stockholders.

ABN AMRO Bank

Risk-Adjusted Performance

6 of 100

Modest

Compared to the overall equity markets, risk-adjusted returns on investments in ABN AMRO Bank are ranked lower than 6 (%) of all global equities and portfolios over the last 90 days. Despite nearly weak basic indicators, ABN AMRO may actually be approaching a critical reversion point that can send shares even higher in June 2024.

Pair Trading with PT Astra and ABN AMRO

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

The idea behind PT Astra International and ABN AMRO Bank 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 Portfolio Backtesting module to avoid under-diversification and over-optimization by backtesting your portfolios.