Correlation Between Pembangunan Jaya and Eratex Djaja
Can any of the company-specific risk be diversified away by investing in both Pembangunan Jaya 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 Pembangunan Jaya and Eratex Djaja into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Pembangunan Jaya Ancol and Eratex Djaja Tbk, you can compare the effects of market volatilities on Pembangunan Jaya 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 Pembangunan Jaya with a short position of Eratex Djaja. Check out your portfolio center. Please also check ongoing floating volatility patterns of Pembangunan Jaya and Eratex Djaja.
Diversification Opportunities for Pembangunan Jaya and Eratex Djaja
0.57 | Correlation Coefficient |
Very weak diversification
The 3 months correlation between Pembangunan and Eratex is 0.57. Overlapping area represents the amount of risk that can be diversified away by holding Pembangunan Jaya Ancol 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 Pembangunan Jaya 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 Pembangunan Jaya Ancol 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 Pembangunan Jaya i.e., Pembangunan Jaya and Eratex Djaja go up and down completely randomly.
Pair Corralation between Pembangunan Jaya and Eratex Djaja
Assuming the 90 days trading horizon Pembangunan Jaya Ancol is expected to under-perform the Eratex Djaja. But the stock apears to be less risky and, when comparing its historical volatility, Pembangunan Jaya Ancol is 2.55 times less risky than Eratex Djaja. The stock trades about -0.02 of its potential returns per unit of risk. The Eratex Djaja Tbk is currently generating about 0.0 of returns per unit of risk over similar time horizon. If you would invest 17,327 in Eratex Djaja Tbk on September 2, 2024 and sell it today you would lose (7,127) from holding Eratex Djaja Tbk or give up 41.13% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
Pembangunan Jaya Ancol vs. Eratex Djaja Tbk
Performance |
| Timeline |
| Pembangunan Jaya Ancol |
| Eratex Djaja Tbk |
Pembangunan Jaya and Eratex Djaja Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Pembangunan Jaya and Eratex Djaja
The main advantage of trading using opposite Pembangunan Jaya and Eratex Djaja positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Pembangunan Jaya 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.| Pembangunan Jaya vs. Lautan Luas Tbk | Pembangunan Jaya vs. Panorama Sentrawisata Tbk | Pembangunan Jaya vs. Multi Indocitra Tbk | Pembangunan Jaya vs. Hotel Sahid Jaya |
| 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 Correlation Analysis module to reduce portfolio risk simply by holding instruments which are not perfectly correlated.
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