Correlation Between Aneka Gas and Semen Indonesia
Can any of the company-specific risk be diversified away by investing in both Aneka Gas and Semen Indonesia 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 Aneka Gas and Semen Indonesia into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Aneka Gas Industri and Semen Indonesia Persero, you can compare the effects of market volatilities on Aneka Gas and Semen Indonesia 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 Aneka Gas with a short position of Semen Indonesia. Check out your portfolio center. Please also check ongoing floating volatility patterns of Aneka Gas and Semen Indonesia.
Diversification Opportunities for Aneka Gas and Semen Indonesia
0.87 | Correlation Coefficient |
Very poor diversification
The 3 months correlation between Aneka and Semen is 0.87. Overlapping area represents the amount of risk that can be diversified away by holding Aneka Gas Industri and Semen Indonesia Persero in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Semen Indonesia Persero and Aneka Gas 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 Aneka Gas Industri are associated (or correlated) with Semen Indonesia. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Semen Indonesia Persero has no effect on the direction of Aneka Gas i.e., Aneka Gas and Semen Indonesia go up and down completely randomly.
Pair Corralation between Aneka Gas and Semen Indonesia
Assuming the 90 days trading horizon Aneka Gas Industri is expected to generate 1.3 times more return on investment than Semen Indonesia. However, Aneka Gas is 1.3 times more volatile than Semen Indonesia Persero. It trades about -0.01 of its potential returns per unit of risk. Semen Indonesia Persero is currently generating about -0.27 per unit of risk. If you would invest 143,000 in Aneka Gas Industri on October 26, 2024 and sell it today you would lose (2,000) from holding Aneka Gas Industri or give up 1.4% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Strong |
| Accuracy | 94.74% |
| Values | Daily Returns |
Aneka Gas Industri vs. Semen Indonesia Persero
Performance |
| Timeline |
| Aneka Gas Industri |
| Semen Indonesia Persero |
Aneka Gas and Semen Indonesia Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Aneka Gas and Semen Indonesia
The main advantage of trading using opposite Aneka Gas and Semen Indonesia positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Aneka Gas position performs unexpectedly, Semen Indonesia 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 Semen Indonesia will offset losses from the drop in Semen Indonesia's long position.| Aneka Gas vs. Surya Esa Perkasa | Aneka Gas vs. Elang Mahkota Teknologi | Aneka Gas vs. Merdeka Copper Gold | Aneka Gas vs. Saratoga Investama Sedaya |
| Semen Indonesia vs. Indocement Tunggal Prakarsa | Semen Indonesia vs. United Tractors Tbk | Semen Indonesia vs. Jasa Marga Tbk | Semen Indonesia vs. PT Indofood 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 Commodity Channel module to use Commodity Channel Index to analyze current equity momentum.
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