Correlation Between IDX 30 and Semen Indonesia
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By analyzing existing cross correlation between IDX 30 Jakarta and Semen Indonesia Persero, you can compare the effects of market volatilities on IDX 30 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 IDX 30 with a short position of Semen Indonesia. Check out your portfolio center. Please also check ongoing floating volatility patterns of IDX 30 and Semen Indonesia.
Diversification Opportunities for IDX 30 and Semen Indonesia
0.67 | Correlation Coefficient |
Poor diversification
The 3 months correlation between IDX and Semen is 0.67. Overlapping area represents the amount of risk that can be diversified away by holding IDX 30 Jakarta 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 IDX 30 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 IDX 30 Jakarta 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 IDX 30 i.e., IDX 30 and Semen Indonesia go up and down completely randomly.
Pair Corralation between IDX 30 and Semen Indonesia
Assuming the 90 days trading horizon IDX 30 Jakarta is expected to generate 0.41 times more return on investment than Semen Indonesia. However, IDX 30 Jakarta is 2.42 times less risky than Semen Indonesia. It trades about -0.09 of its potential returns per unit of risk. Semen Indonesia Persero is currently generating about -0.07 per unit of risk. If you would invest 47,678 in IDX 30 Jakarta on August 29, 2024 and sell it today you would lose (2,487) from holding IDX 30 Jakarta or give up 5.22% of portfolio value over 90 days.
Time Period | 3 Months [change] |
Direction | Moves Together |
Strength | Significant |
Accuracy | 100.0% |
Values | Daily Returns |
IDX 30 Jakarta vs. Semen Indonesia Persero
Performance |
Timeline |
IDX 30 and Semen Indonesia Volatility Contrast
Predicted Return Density |
Returns |
IDX 30 Jakarta
Pair trading matchups for IDX 30
Semen Indonesia Persero
Pair trading matchups for Semen Indonesia
Pair Trading with IDX 30 and Semen Indonesia
The main advantage of trading using opposite IDX 30 and Semen Indonesia positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if IDX 30 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.IDX 30 vs. Ace Hardware Indonesia | IDX 30 vs. Capital Financial Indonesia | IDX 30 vs. PT Data Sinergitama | IDX 30 vs. Steel Pipe Industry |
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 Technical Analysis module to check basic technical indicators and analysis based on most latest market data.
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