Correlation Between Elnusa Tbk and Vale Indonesia
Can any of the company-specific risk be diversified away by investing in both Elnusa Tbk and Vale Indonesia 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 Elnusa Tbk and Vale Indonesia into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Elnusa Tbk and Vale Indonesia Tbk, you can compare the effects of market volatilities on Elnusa Tbk and Vale Indonesia 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 Elnusa Tbk with a short position of Vale Indonesia. Check out your portfolio center. Please also check ongoing floating volatility patterns of Elnusa Tbk and Vale Indonesia.
Diversification Opportunities for Elnusa Tbk and Vale Indonesia
0.67 | Correlation Coefficient |
Poor diversification
The 3 months correlation between Elnusa and Vale is 0.67. Overlapping area represents the amount of risk that can be diversified away by holding Elnusa Tbk and Vale Indonesia Tbk in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Vale Indonesia Tbk and Elnusa Tbk 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 Elnusa Tbk are associated (or correlated) with Vale Indonesia. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Vale Indonesia Tbk has no effect on the direction of Elnusa Tbk i.e., Elnusa Tbk and Vale Indonesia go up and down completely randomly.
Pair Corralation between Elnusa Tbk and Vale Indonesia
Assuming the 90 days trading horizon Elnusa Tbk is expected to generate 1.03 times more return on investment than Vale Indonesia. However, Elnusa Tbk is 1.03 times more volatile than Vale Indonesia Tbk. It trades about 0.03 of its potential returns per unit of risk. Vale Indonesia Tbk is currently generating about -0.12 per unit of risk. If you would invest 42,200 in Elnusa Tbk on September 1, 2024 and sell it today you would earn a total of 2,000 from holding Elnusa Tbk or generate 4.74% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 99.21% |
| Values | Daily Returns |
Elnusa Tbk vs. Vale Indonesia Tbk
Performance |
| Timeline |
| Elnusa Tbk |
| Vale Indonesia Tbk |
Elnusa Tbk and Vale Indonesia Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Elnusa Tbk and Vale Indonesia
The main advantage of trading using opposite Elnusa Tbk and Vale Indonesia positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Elnusa Tbk position performs unexpectedly, Vale Indonesia 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 Vale Indonesia will offset losses from the drop in Vale Indonesia's long position.| Elnusa Tbk vs. Mitrabahtera Segara Sejati | Elnusa Tbk vs. Weha Transportasi Indonesia | Elnusa Tbk vs. Rig Tenders Tbk | Elnusa Tbk vs. Rukun Raharja Tbk |
| Vale Indonesia vs. Perusahaan Gas Negara | Vale Indonesia vs. Telkom Indonesia Tbk | Vale Indonesia vs. Mitra Pinasthika Mustika | Vale Indonesia vs. Jakarta Int Hotels |
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 Fundamental Analysis module to view fundamental data based on most recent published financial statements.
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