Correlation Between Charoen Pokphand and Semen Indonesia
Can any of the company-specific risk be diversified away by investing in both Charoen Pokphand 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 Charoen Pokphand and Semen Indonesia into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Charoen Pokphand Indonesia and Semen Indonesia Persero, you can compare the effects of market volatilities on Charoen Pokphand 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 Charoen Pokphand with a short position of Semen Indonesia. Check out your portfolio center. Please also check ongoing floating volatility patterns of Charoen Pokphand and Semen Indonesia.
Diversification Opportunities for Charoen Pokphand and Semen Indonesia
0.54 | Correlation Coefficient |
Very weak diversification
The 3 months correlation between Charoen and Semen is 0.54. Overlapping area represents the amount of risk that can be diversified away by holding Charoen Pokphand Indonesia 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 Charoen Pokphand 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 Charoen Pokphand Indonesia 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 Charoen Pokphand i.e., Charoen Pokphand and Semen Indonesia go up and down completely randomly.
Pair Corralation between Charoen Pokphand and Semen Indonesia
Assuming the 90 days trading horizon Charoen Pokphand Indonesia is expected to under-perform the Semen Indonesia. But the stock apears to be less risky and, when comparing its historical volatility, Charoen Pokphand Indonesia is 1.44 times less risky than Semen Indonesia. The stock trades about -0.04 of its potential returns per unit of risk. The Semen Indonesia Persero is currently generating about 0.01 of returns per unit of risk over similar time horizon. If you would invest 355,000 in Semen Indonesia Persero on August 31, 2024 and sell it today you would lose (5,000) from holding Semen Indonesia Persero or give up 1.41% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
Charoen Pokphand Indonesia vs. Semen Indonesia Persero
Performance |
| Timeline |
| Charoen Pokphand Ind |
| Semen Indonesia Persero |
Charoen Pokphand and Semen Indonesia Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Charoen Pokphand and Semen Indonesia
The main advantage of trading using opposite Charoen Pokphand and Semen Indonesia positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Charoen Pokphand 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.| Charoen Pokphand vs. Bank BRISyariah Tbk | Charoen Pokphand vs. Mitra Pinasthika Mustika | Charoen Pokphand vs. Jakarta Int Hotels | Charoen Pokphand vs. Indosterling Technomedia Tbk |
| 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 Fundamental Analysis module to view fundamental data based on most recent published financial statements.
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