Correlation Between Indocement Tunggal and Ciputra Development
Can any of the company-specific risk be diversified away by investing in both Indocement Tunggal and Ciputra Development 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 Indocement Tunggal and Ciputra Development into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Indocement Tunggal Prakarsa and Ciputra Development Tbk, you can compare the effects of market volatilities on Indocement Tunggal and Ciputra Development 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 Indocement Tunggal with a short position of Ciputra Development. Check out your portfolio center. Please also check ongoing floating volatility patterns of Indocement Tunggal and Ciputra Development.
Diversification Opportunities for Indocement Tunggal and Ciputra Development
0.3 | Correlation Coefficient |
Weak diversification
The 3 months correlation between Indocement and Ciputra is 0.3. Overlapping area represents the amount of risk that can be diversified away by holding Indocement Tunggal Prakarsa and Ciputra Development Tbk in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Ciputra Development Tbk and Indocement Tunggal 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 Indocement Tunggal Prakarsa are associated (or correlated) with Ciputra Development. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Ciputra Development Tbk has no effect on the direction of Indocement Tunggal i.e., Indocement Tunggal and Ciputra Development go up and down completely randomly.
Pair Corralation between Indocement Tunggal and Ciputra Development
Assuming the 90 days trading horizon Indocement Tunggal Prakarsa is expected to generate 0.54 times more return on investment than Ciputra Development. However, Indocement Tunggal Prakarsa is 1.85 times less risky than Ciputra Development. It trades about -0.25 of its potential returns per unit of risk. Ciputra Development Tbk is currently generating about -0.26 per unit of risk. If you would invest 747,500 in Indocement Tunggal Prakarsa on August 28, 2024 and sell it today you would lose (65,000) from holding Indocement Tunggal Prakarsa or give up 8.7% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
Indocement Tunggal Prakarsa vs. Ciputra Development Tbk
Performance |
| Timeline |
| Indocement Tunggal |
| Ciputra Development Tbk |
Indocement Tunggal and Ciputra Development Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Indocement Tunggal and Ciputra Development
The main advantage of trading using opposite Indocement Tunggal and Ciputra Development positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Indocement Tunggal position performs unexpectedly, Ciputra Development 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 Ciputra Development will offset losses from the drop in Ciputra Development's long position.| Indocement Tunggal vs. Semen Indonesia Persero | Indocement Tunggal vs. United Tractors Tbk | Indocement Tunggal vs. PT Indofood Sukses | Indocement Tunggal vs. Kalbe Farma Tbk |
| Ciputra Development vs. Summarecon Agung Tbk | Ciputra Development vs. Bumi Serpong Damai | Ciputra Development vs. Adhi Karya Persero | Ciputra Development vs. Wijaya Karya Beton |
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 Money Flow Index module to determine momentum by analyzing Money Flow Index and other technical indicators.
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