Correlation Between Erajaya Swasembada and Eratex Djaja
Can any of the company-specific risk be diversified away by investing in both Erajaya Swasembada and Eratex Djaja 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 Erajaya Swasembada and Eratex Djaja into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Erajaya Swasembada Tbk and Eratex Djaja Tbk, you can compare the effects of market volatilities on Erajaya Swasembada and Eratex Djaja 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 Erajaya Swasembada with a short position of Eratex Djaja. Check out your portfolio center. Please also check ongoing floating volatility patterns of Erajaya Swasembada and Eratex Djaja.
Diversification Opportunities for Erajaya Swasembada and Eratex Djaja
0.01 | Correlation Coefficient |
Significant diversification
The 3 months correlation between Erajaya and Eratex is 0.01. Overlapping area represents the amount of risk that can be diversified away by holding Erajaya Swasembada Tbk and Eratex Djaja Tbk in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Eratex Djaja Tbk and Erajaya Swasembada 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 Erajaya Swasembada Tbk are associated (or correlated) with Eratex Djaja. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Eratex Djaja Tbk has no effect on the direction of Erajaya Swasembada i.e., Erajaya Swasembada and Eratex Djaja go up and down completely randomly.
Pair Corralation between Erajaya Swasembada and Eratex Djaja
Assuming the 90 days trading horizon Erajaya Swasembada Tbk is expected to under-perform the Eratex Djaja. But the stock apears to be less risky and, when comparing its historical volatility, Erajaya Swasembada Tbk is 3.73 times less risky than Eratex Djaja. The stock trades about -0.08 of its potential returns per unit of risk. The Eratex Djaja Tbk is currently generating about 0.13 of returns per unit of risk over similar time horizon. If you would invest 8,900 in Eratex Djaja Tbk on August 31, 2024 and sell it today you would earn a total of 1,700 from holding Eratex Djaja Tbk or generate 19.1% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Insignificant |
| Accuracy | 95.45% |
| Values | Daily Returns |
Erajaya Swasembada Tbk vs. Eratex Djaja Tbk
Performance |
| Timeline |
| Erajaya Swasembada Tbk |
| Eratex Djaja Tbk |
Erajaya Swasembada and Eratex Djaja Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Erajaya Swasembada and Eratex Djaja
The main advantage of trading using opposite Erajaya Swasembada and Eratex Djaja positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Erajaya Swasembada position performs unexpectedly, Eratex Djaja 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 Eratex Djaja will offset losses from the drop in Eratex Djaja's long position.| Erajaya Swasembada vs. Multipolar Tbk | Erajaya Swasembada vs. Astra Graphia Tbk | Erajaya Swasembada vs. Matahari Putra Prima | Erajaya Swasembada vs. Ramayana Lestari Sentosa |
| Eratex Djaja vs. Japfa Comfeed Indonesia | Eratex Djaja vs. Charoen Pokphand Indonesia | Eratex Djaja vs. Erajaya Swasembada Tbk | Eratex Djaja vs. Indofood Cbp Sukses |
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 Price Transformation module to use Price Transformation models to analyze the depth of different equity instruments across global markets.
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