Correlation Between Gunawan Dianjaya and Semen Baturaja
Can any of the company-specific risk be diversified away by investing in both Gunawan Dianjaya and Semen Baturaja 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 Gunawan Dianjaya and Semen Baturaja into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Gunawan Dianjaya Steel and Semen Baturaja Persero, you can compare the effects of market volatilities on Gunawan Dianjaya and Semen Baturaja 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 Gunawan Dianjaya with a short position of Semen Baturaja. Check out your portfolio center. Please also check ongoing floating volatility patterns of Gunawan Dianjaya and Semen Baturaja.
Diversification Opportunities for Gunawan Dianjaya and Semen Baturaja
0.69 | Correlation Coefficient |
Poor diversification
The 3 months correlation between Gunawan and Semen is 0.69. Overlapping area represents the amount of risk that can be diversified away by holding Gunawan Dianjaya Steel and Semen Baturaja Persero in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Semen Baturaja Persero and Gunawan Dianjaya 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 Gunawan Dianjaya Steel are associated (or correlated) with Semen Baturaja. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Semen Baturaja Persero has no effect on the direction of Gunawan Dianjaya i.e., Gunawan Dianjaya and Semen Baturaja go up and down completely randomly.
Pair Corralation between Gunawan Dianjaya and Semen Baturaja
Assuming the 90 days trading horizon Gunawan Dianjaya Steel is expected to under-perform the Semen Baturaja. In addition to that, Gunawan Dianjaya is 1.56 times more volatile than Semen Baturaja Persero. It trades about -0.18 of its total potential returns per unit of risk. Semen Baturaja Persero is currently generating about -0.06 per unit of volatility. If you would invest 22,800 in Semen Baturaja Persero on August 30, 2024 and sell it today you would lose (1,200) from holding Semen Baturaja Persero or give up 5.26% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Gunawan Dianjaya Steel vs. Semen Baturaja Persero
Performance |
| Timeline |
| Gunawan Dianjaya Steel |
| Semen Baturaja Persero |
Gunawan Dianjaya and Semen Baturaja Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Gunawan Dianjaya and Semen Baturaja
The main advantage of trading using opposite Gunawan Dianjaya and Semen Baturaja positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Gunawan Dianjaya position performs unexpectedly, Semen Baturaja 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 Baturaja will offset losses from the drop in Semen Baturaja's long position.| Gunawan Dianjaya vs. Barito Pacific Tbk | Gunawan Dianjaya vs. Charoen Pokphand Indonesia | Gunawan Dianjaya vs. Indocement Tunggal Prakarsa |
| Semen Baturaja vs. Barito Pacific Tbk | Semen Baturaja vs. Charoen Pokphand Indonesia | Semen Baturaja vs. Indocement Tunggal Prakarsa |
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 Idea Analyzer module to analyze all characteristics, volatility and risk-adjusted return of Macroaxis ideas.
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