Correlation Between Indocement Tunggal and Perusahaan Gas
Can any of the company-specific risk be diversified away by investing in both Indocement Tunggal and Perusahaan Gas 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 Perusahaan Gas 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 Perusahaan Gas Negara, you can compare the effects of market volatilities on Indocement Tunggal and Perusahaan Gas 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 Perusahaan Gas. Check out your portfolio center. Please also check ongoing floating volatility patterns of Indocement Tunggal and Perusahaan Gas.
Diversification Opportunities for Indocement Tunggal and Perusahaan Gas
-0.47 | Correlation Coefficient |
Very good diversification
The 3 months correlation between Indocement and Perusahaan is -0.47. Overlapping area represents the amount of risk that can be diversified away by holding Indocement Tunggal Prakarsa and Perusahaan Gas Negara in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Perusahaan Gas Negara 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 Perusahaan Gas. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Perusahaan Gas Negara has no effect on the direction of Indocement Tunggal i.e., Indocement Tunggal and Perusahaan Gas go up and down completely randomly.
Pair Corralation between Indocement Tunggal and Perusahaan Gas
Assuming the 90 days trading horizon Indocement Tunggal Prakarsa is expected to under-perform the Perusahaan Gas. But the stock apears to be less risky and, when comparing its historical volatility, Indocement Tunggal Prakarsa is 1.2 times less risky than Perusahaan Gas. The stock trades about -0.54 of its potential returns per unit of risk. The Perusahaan Gas Negara is currently generating about -0.19 of returns per unit of risk over similar time horizon. If you would invest 171,500 in Perusahaan Gas Negara on November 5, 2024 and sell it today you would lose (11,000) from holding Perusahaan Gas Negara or give up 6.41% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Very Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
Indocement Tunggal Prakarsa vs. Perusahaan Gas Negara
Performance |
| Timeline |
| Indocement Tunggal |
| Perusahaan Gas Negara |
Indocement Tunggal and Perusahaan Gas Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Indocement Tunggal and Perusahaan Gas
The main advantage of trading using opposite Indocement Tunggal and Perusahaan Gas positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Indocement Tunggal position performs unexpectedly, Perusahaan Gas 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 Perusahaan Gas will offset losses from the drop in Perusahaan Gas' 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 |
| Perusahaan Gas vs. Aneka Tambang Persero | Perusahaan Gas vs. Bukit Asam Tbk | Perusahaan Gas vs. Telkom Indonesia Tbk | Perusahaan Gas vs. Astra International Tbk |
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 Portfolio Manager module to state of the art Portfolio Manager to monitor and improve performance of your invested capital.
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