IDX 30 Correlations
| IDX30 Index | 448.67 6.09 1.38% |
The current 90-days correlation between IDX 30 Jakarta and Surya Citra Media is -0.02 (i.e., Good diversification). The correlation of IDX 30 is a statistical measure of how it moves in relation to other instruments. This measure is expressed in what is known as the correlation coefficient, which ranges between -1 and +1. A correlation greater than 0.8 is generally described as strong, whereas a correlation less than 0.5 is generally considered weak.
The ability to find closely correlated positions to IDX 30 could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace IDX 30 when you sell it. If you don't do this, your portfolio allocation will be skewed against your target asset allocation. So, investors can't just sell and buy back IDX 30 - that would be a violation of the tax code under the "wash sale" rule, and this is why you need to find a similar enough asset and use the proceeds from selling IDX 30 Jakarta to buy it.
Moving together with IDX Index
| 0.87 | BBCA | Bank Central Asia | PairCorr |
| 0.84 | BBRI | Bank Rakyat Indonesia | PairCorr |
| 0.91 | BMRI | Bank Mandiri Persero | PairCorr |
| 0.77 | TPIA | Chandra Asri Petroch | PairCorr |
| 0.94 | BBNI | Bank Negara Indonesia | PairCorr |
| 0.79 | UNVR | Unilever Indonesia Tbk | PairCorr |
| 0.67 | HMSP | Hanjaya Mandala Sampoerna | PairCorr |
Moving against IDX Index
Related Correlations Analysis
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Correlation Matchups
Over a given time period, the two securities move together when the Correlation Coefficient is positive. Conversely, the two assets move in opposite directions when the Correlation Coefficient is negative. Determining your positions' relationship to each other is valuable for analyzing and projecting your portfolio's future expected return and risk.High positive correlations
| High negative correlations
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Risk-Adjusted Indicators
There is a big difference between IDX Index performing well and IDX 30 Index doing well as a business compared to the competition. There are so many exceptions to the norm that investors cannot definitively determine what's good or bad unless they analyze IDX 30's multiple risk-adjusted performance indicators across the competitive landscape. These indicators are quantitative in nature and help investors forecast volatility and risk-adjusted expected returns across various positions.| Mean Deviation | Jensen Alpha | Sortino Ratio | Treynor Ratio | Semi Deviation | Expected Shortfall | Potential Upside | Value @Risk | Maximum Drawdown | ||
|---|---|---|---|---|---|---|---|---|---|---|
| SCMA | 1.32 | 0.02 | (0.06) | 0.01 | 1.33 | 3.97 | 11.32 | |||
| ENVY | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | |||
| GDST | 1.54 | (0.29) | 0.00 | (1.04) | 0.00 | 2.83 | 17.14 | |||
| NANO | 1.94 | 0.52 | 0.06 | (2.53) | 1.87 | 6.67 | 13.81 | |||
| HITS | 1.75 | 0.67 | 0.21 | (0.87) | 1.58 | 3.55 | 33.41 | |||
| PRAS | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | |||
| TECH | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | |||
| INOV | 1.83 | 0.03 | (0.03) | (0.11) | 2.09 | 3.19 | 22.27 |
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IDX 30 Distribution of Returns
Predicted Return Density |
| Returns |
