Correlation Between Unilever Indonesia and Nusa Konstruksi
Can any of the company-specific risk be diversified away by investing in both Unilever Indonesia and Nusa Konstruksi 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 Unilever Indonesia and Nusa Konstruksi into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Unilever Indonesia Tbk and Nusa Konstruksi Enjiniring, you can compare the effects of market volatilities on Unilever Indonesia and Nusa Konstruksi 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 Unilever Indonesia with a short position of Nusa Konstruksi. Check out your portfolio center. Please also check ongoing floating volatility patterns of Unilever Indonesia and Nusa Konstruksi.
Diversification Opportunities for Unilever Indonesia and Nusa Konstruksi
0.72 | Correlation Coefficient |
Poor diversification
The 3 months correlation between Unilever and Nusa is 0.72. Overlapping area represents the amount of risk that can be diversified away by holding Unilever Indonesia Tbk and Nusa Konstruksi Enjiniring in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Nusa Konstruksi Enji and Unilever Indonesia 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 Unilever Indonesia Tbk are associated (or correlated) with Nusa Konstruksi. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Nusa Konstruksi Enji has no effect on the direction of Unilever Indonesia i.e., Unilever Indonesia and Nusa Konstruksi go up and down completely randomly.
Pair Corralation between Unilever Indonesia and Nusa Konstruksi
Assuming the 90 days trading horizon Unilever Indonesia Tbk is expected to generate 3.68 times more return on investment than Nusa Konstruksi. However, Unilever Indonesia is 3.68 times more volatile than Nusa Konstruksi Enjiniring. It trades about -0.04 of its potential returns per unit of risk. Nusa Konstruksi Enjiniring is currently generating about -0.27 per unit of risk. If you would invest 196,000 in Unilever Indonesia Tbk on August 31, 2024 and sell it today you would lose (6,000) from holding Unilever Indonesia Tbk or give up 3.06% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 95.45% |
| Values | Daily Returns |
Unilever Indonesia Tbk vs. Nusa Konstruksi Enjiniring
Performance |
| Timeline |
| Unilever Indonesia Tbk |
| Nusa Konstruksi Enji |
Unilever Indonesia and Nusa Konstruksi Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Unilever Indonesia and Nusa Konstruksi
The main advantage of trading using opposite Unilever Indonesia and Nusa Konstruksi positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Unilever Indonesia position performs unexpectedly, Nusa Konstruksi 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 Nusa Konstruksi will offset losses from the drop in Nusa Konstruksi's long position.| Unilever Indonesia vs. PT Indofood Sukses | Unilever Indonesia vs. Astra International Tbk | Unilever Indonesia vs. Telkom Indonesia Tbk | Unilever Indonesia vs. Bank Central Asia |
| Nusa Konstruksi vs. Sentul City Tbk | Nusa Konstruksi vs. Gozco Plantations Tbk | Nusa Konstruksi vs. Bukit Darmo Property | Nusa Konstruksi vs. Total Bangun Persada |
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 Crypto Correlations module to use cryptocurrency correlation module to diversify your cryptocurrency portfolio across multiple coins.
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