Correlation Between Dupont De and Citra Borneo

Can any of the company-specific risk be diversified away by investing in both Dupont De and Citra Borneo 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 Dupont De and Citra Borneo into the same portfolio, which is an essential part of the fundamental portfolio management process.

By analyzing existing cross correlation between Dupont De Nemours and Citra Borneo Utama, you can compare the effects of market volatilities on Dupont De and Citra Borneo 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 Dupont De with a short position of Citra Borneo. Check out your portfolio center. Please also check ongoing floating volatility patterns of Dupont De and Citra Borneo.

Diversification Opportunities for Dupont De and Citra Borneo

0.75

Correlation Coefficient

Dupont De  Citra Borneo

Poor diversification

The 3 months correlation between Dupont and Citra is 0.75. Overlapping area represents the amount of risk that can be diversified away by holding Dupont De Nemours and Citra Borneo Utama in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Citra Borneo Utama and Dupont De 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 Dupont De Nemours are associated (or correlated) with Citra Borneo. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Citra Borneo Utama has no effect on the direction of Dupont De i.e., Dupont De and Citra Borneo go up and down completely randomly.

Pair Corralation between Dupont De and Citra Borneo

Allowing for the 90-day total investment horizon Dupont De Nemours is expected to generate 0.41 times more return on investment than Citra Borneo. However, Dupont De Nemours is 2.46 times less risky than Citra Borneo. It trades about -0.07 of its potential returns per unit of risk. Citra Borneo Utama is currently generating about -0.03 per unit of risk. If you would invest  8,292  in Dupont De Nemours on October 25, 2024 and sell it today you would lose (472.00) from holding Dupont De Nemours or give up 5.69% of portfolio value over 90 days.

Time Period	3 Months [change]
Direction	Moves Together
Strength	Significant
Accuracy	98.33%
Values	Daily Returns

Dupont De Nemours  vs.  Citra Borneo Utama

Dupont De Nemours

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Dupont De Nemours has generated negative risk-adjusted returns adding no value to investors with long positions. In spite of rather sound fundamental indicators, Dupont De is not utilizing all of its potentials. The recent stock price tumult, may contribute to shorter-term losses for the shareholders.

Citra Borneo Utama

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Citra Borneo Utama has generated negative risk-adjusted returns adding no value to investors with long positions. Despite quite persistent forward-looking signals, Citra Borneo is not utilizing all of its potentials. The latest stock price mess, may contribute to short-term losses for the institutional investors.

Pair Trading with Dupont De and Citra Borneo

The main advantage of trading using opposite Dupont De and Citra Borneo positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Dupont De position performs unexpectedly, Citra Borneo 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 Citra Borneo will offset losses from the drop in Citra Borneo's long position.

The idea behind Dupont De Nemours and Citra Borneo Utama pairs trading is to make the combined position market-neutral, meaning the overall market's direction will not affect its win or loss (or potential downside or upside). This can be achieved by designing a pairs trade with two highly correlated stocks or equities that operate in a similar space or sector, making it possible to obtain profits through simple and relatively low-risk investment.

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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 ETFs module to find actively traded Exchange Traded Funds (ETF) from around the world.