Correlation Between Eratex Djaja and Sepatu Bata
Can any of the company-specific risk be diversified away by investing in both Eratex Djaja and Sepatu Bata 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 Eratex Djaja and Sepatu Bata into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Eratex Djaja Tbk and Sepatu Bata Tbk, you can compare the effects of market volatilities on Eratex Djaja and Sepatu Bata 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 Eratex Djaja with a short position of Sepatu Bata. Check out your portfolio center. Please also check ongoing floating volatility patterns of Eratex Djaja and Sepatu Bata.
Diversification Opportunities for Eratex Djaja and Sepatu Bata
0.69 | Correlation Coefficient |
Poor diversification
The 3 months correlation between Eratex and Sepatu is 0.69. Overlapping area represents the amount of risk that can be diversified away by holding Eratex Djaja Tbk and Sepatu Bata Tbk in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Sepatu Bata Tbk and Eratex Djaja 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 Eratex Djaja Tbk are associated (or correlated) with Sepatu Bata. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Sepatu Bata Tbk has no effect on the direction of Eratex Djaja i.e., Eratex Djaja and Sepatu Bata go up and down completely randomly.
Pair Corralation between Eratex Djaja and Sepatu Bata
Assuming the 90 days trading horizon Eratex Djaja Tbk is expected to under-perform the Sepatu Bata. In addition to that, Eratex Djaja is 1.26 times more volatile than Sepatu Bata Tbk. It trades about -0.12 of its total potential returns per unit of risk. Sepatu Bata Tbk is currently generating about -0.11 per unit of volatility. If you would invest 14,100 in Sepatu Bata Tbk on August 25, 2024 and sell it today you would lose (9,100) from holding Sepatu Bata Tbk or give up 64.54% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Eratex Djaja Tbk vs. Sepatu Bata Tbk
Performance |
| Timeline |
| Eratex Djaja Tbk |
| Sepatu Bata Tbk |
Eratex Djaja and Sepatu Bata Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Eratex Djaja and Sepatu Bata
The main advantage of trading using opposite Eratex Djaja and Sepatu Bata positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Eratex Djaja position performs unexpectedly, Sepatu Bata 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 Sepatu Bata will offset losses from the drop in Sepatu Bata's long position.| Eratex Djaja vs. Ever Shine Textile | Eratex Djaja vs. PT Century Textile | Eratex Djaja vs. Argo Pantes Tbk | Eratex Djaja vs. Primarindo Asia Infrastructure |
| Sepatu Bata vs. Indo Kordsa Tbk | Sepatu Bata vs. Goodyear Indonesia Tbk | Sepatu Bata vs. Argo Pantes Tbk | Sepatu Bata vs. Primarindo Asia Infrastructure |
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 Pair Correlation module to compare performance and examine fundamental relationship between any two equity instruments.
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