Correlation Between Erajaya Swasembada and Indomobil Sukses
Can any of the company-specific risk be diversified away by investing in both Erajaya Swasembada and Indomobil Sukses 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 Indomobil Sukses 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 Indomobil Sukses Internasional, you can compare the effects of market volatilities on Erajaya Swasembada and Indomobil Sukses 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 Indomobil Sukses. Check out your portfolio center. Please also check ongoing floating volatility patterns of Erajaya Swasembada and Indomobil Sukses.
Diversification Opportunities for Erajaya Swasembada and Indomobil Sukses
0.87 | Correlation Coefficient |
Very poor diversification
The 3 months correlation between Erajaya and Indomobil is 0.87. Overlapping area represents the amount of risk that can be diversified away by holding Erajaya Swasembada Tbk and Indomobil Sukses Internasional in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Indomobil Sukses Int 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 Indomobil Sukses. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Indomobil Sukses Int has no effect on the direction of Erajaya Swasembada i.e., Erajaya Swasembada and Indomobil Sukses go up and down completely randomly.
Pair Corralation between Erajaya Swasembada and Indomobil Sukses
Assuming the 90 days trading horizon Erajaya Swasembada Tbk is expected to under-perform the Indomobil Sukses. In addition to that, Erajaya Swasembada is 1.42 times more volatile than Indomobil Sukses Internasional. It trades about -0.22 of its total potential returns per unit of risk. Indomobil Sukses Internasional is currently generating about -0.16 per unit of volatility. If you would invest 89,000 in Indomobil Sukses Internasional on October 24, 2024 and sell it today you would lose (4,500) from holding Indomobil Sukses Internasional or give up 5.06% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Strong |
| Accuracy | 94.74% |
| Values | Daily Returns |
Erajaya Swasembada Tbk vs. Indomobil Sukses Internasional
Performance |
| Timeline |
| Erajaya Swasembada Tbk |
| Indomobil Sukses Int |
Erajaya Swasembada and Indomobil Sukses Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Erajaya Swasembada and Indomobil Sukses
The main advantage of trading using opposite Erajaya Swasembada and Indomobil Sukses positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Erajaya Swasembada position performs unexpectedly, Indomobil Sukses 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 Indomobil Sukses will offset losses from the drop in Indomobil Sukses' long position.| Erajaya Swasembada vs. Ace Hardware Indonesia | Erajaya Swasembada vs. Japfa Comfeed Indonesia | Erajaya Swasembada vs. XL Axiata Tbk | Erajaya Swasembada vs. Pembangunan Perumahan PT |
| Indomobil Sukses vs. Pembangunan Graha Lestari | Indomobil Sukses vs. Pudjiadi Sons Tbk | Indomobil Sukses vs. Pioneerindo Gourmet International | Indomobil Sukses vs. Pembangunan Jaya Ancol |
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 Idea Optimizer module to use advanced portfolio builder with pre-computed micro ideas to build optimal portfolio .
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