Correlation Between China Resources and PT Semen
Can any of the company-specific risk be diversified away by investing in both China Resources and PT Semen 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 China Resources and PT Semen into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between China Resources Cement and PT Semen Indonesia, you can compare the effects of market volatilities on China Resources and PT Semen 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 China Resources with a short position of PT Semen. Check out your portfolio center. Please also check ongoing floating volatility patterns of China Resources and PT Semen.
Diversification Opportunities for China Resources and PT Semen
-0.66 | Correlation Coefficient |
Excellent diversification
The 3 months correlation between China and PSGTF is -0.66. Overlapping area represents the amount of risk that can be diversified away by holding China Resources Cement and PT Semen Indonesia in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on PT Semen Indonesia and China Resources 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 China Resources Cement are associated (or correlated) with PT Semen. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of PT Semen Indonesia has no effect on the direction of China Resources i.e., China Resources and PT Semen go up and down completely randomly.
Pair Corralation between China Resources and PT Semen
Assuming the 90 days horizon China Resources Cement is expected to generate 1.37 times more return on investment than PT Semen. However, China Resources is 1.37 times more volatile than PT Semen Indonesia. It trades about -0.04 of its potential returns per unit of risk. PT Semen Indonesia is currently generating about -0.22 per unit of risk. If you would invest 735.00 in China Resources Cement on September 14, 2024 and sell it today you would lose (31.00) from holding China Resources Cement or give up 4.22% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
China Resources Cement vs. PT Semen Indonesia
Performance |
| Timeline |
| China Resources Cement |
| PT Semen Indonesia |
China Resources and PT Semen Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with China Resources and PT Semen
The main advantage of trading using opposite China Resources and PT Semen positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if China Resources position performs unexpectedly, PT Semen 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 PT Semen will offset losses from the drop in PT Semen's long position.| China Resources vs. CRH PLC ADR | China Resources vs. Holcim | China Resources vs. Lafargeholcim Ltd ADR | China Resources vs. Vulcan Materials |
| PT Semen vs. Microbot Medical | PT Semen vs. Sonida Senior Living | PT Semen vs. NETGEAR | PT Semen vs. Anterix |
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 Performance Analysis module to check effects of mean-variance optimization against your current asset allocation.
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