Correlation Between Duta Pertiwi and Enseval Putra
Can any of the company-specific risk be diversified away by investing in both Duta Pertiwi and Enseval Putra 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 Duta Pertiwi and Enseval Putra into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Duta Pertiwi Nusantara and Enseval Putra Megatrading, you can compare the effects of market volatilities on Duta Pertiwi and Enseval Putra 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 Duta Pertiwi with a short position of Enseval Putra. Check out your portfolio center. Please also check ongoing floating volatility patterns of Duta Pertiwi and Enseval Putra.
Diversification Opportunities for Duta Pertiwi and Enseval Putra
0.48 | Correlation Coefficient |
Very weak diversification
The 3 months correlation between Duta and Enseval is 0.48. Overlapping area represents the amount of risk that can be diversified away by holding Duta Pertiwi Nusantara and Enseval Putra Megatrading in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Enseval Putra Megatrading and Duta Pertiwi 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 Duta Pertiwi Nusantara are associated (or correlated) with Enseval Putra. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Enseval Putra Megatrading has no effect on the direction of Duta Pertiwi i.e., Duta Pertiwi and Enseval Putra go up and down completely randomly.
Pair Corralation between Duta Pertiwi and Enseval Putra
Assuming the 90 days trading horizon Duta Pertiwi Nusantara is expected to generate 1.4 times more return on investment than Enseval Putra. However, Duta Pertiwi is 1.4 times more volatile than Enseval Putra Megatrading. It trades about -0.04 of its potential returns per unit of risk. Enseval Putra Megatrading is currently generating about -0.1 per unit of risk. If you would invest 34,600 in Duta Pertiwi Nusantara on August 29, 2024 and sell it today you would lose (600.00) from holding Duta Pertiwi Nusantara or give up 1.73% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Weak |
| Accuracy | 97.67% |
| Values | Daily Returns |
Duta Pertiwi Nusantara vs. Enseval Putra Megatrading
Performance |
| Timeline |
| Duta Pertiwi Nusantara |
| Enseval Putra Megatrading |
Duta Pertiwi and Enseval Putra Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Duta Pertiwi and Enseval Putra
The main advantage of trading using opposite Duta Pertiwi and Enseval Putra positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Duta Pertiwi position performs unexpectedly, Enseval Putra 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 Enseval Putra will offset losses from the drop in Enseval Putra's long position.| Duta Pertiwi vs. Barito Pacific Tbk | Duta Pertiwi vs. Pabrik Kertas Tjiwi | Duta Pertiwi vs. Charoen Pokphand Indonesia | Duta Pertiwi vs. Indocement Tunggal Prakarsa |
| Enseval Putra vs. Astra Graphia Tbk | Enseval Putra vs. Hexindo Adiperkasa Tbk | Enseval Putra vs. Lautan Luas Tbk | Enseval Putra vs. Citra Marga Nusaphala |
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 Rebalancing module to analyze risk-adjusted returns against different time horizons to find asset-allocation targets.
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