Correlation Between Indocement Tunggal and Semen Baturaja
Can any of the company-specific risk be diversified away by investing in both Indocement Tunggal 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 Indocement Tunggal and Semen Baturaja 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 Semen Baturaja Persero, you can compare the effects of market volatilities on Indocement Tunggal 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 Indocement Tunggal with a short position of Semen Baturaja. Check out your portfolio center. Please also check ongoing floating volatility patterns of Indocement Tunggal and Semen Baturaja.
Diversification Opportunities for Indocement Tunggal and Semen Baturaja
0.58 | Correlation Coefficient |
Very weak diversification
The 3 months correlation between Indocement and Semen is 0.58. Overlapping area represents the amount of risk that can be diversified away by holding Indocement Tunggal Prakarsa 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 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 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 Indocement Tunggal i.e., Indocement Tunggal and Semen Baturaja go up and down completely randomly.
Pair Corralation between Indocement Tunggal and Semen Baturaja
Assuming the 90 days trading horizon Indocement Tunggal is expected to generate 1.5 times less return on investment than Semen Baturaja. But when comparing it to its historical volatility, Indocement Tunggal Prakarsa is 1.4 times less risky than Semen Baturaja. It trades about 0.03 of its potential returns per unit of risk. Semen Baturaja Persero is currently generating about 0.03 of returns per unit of risk over similar time horizon. If you would invest 19,973 in Semen Baturaja Persero on September 1, 2024 and sell it today you would earn a total of 1,427 from holding Semen Baturaja Persero or generate 7.14% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
Indocement Tunggal Prakarsa vs. Semen Baturaja Persero
Performance |
| Timeline |
| Indocement Tunggal |
| Semen Baturaja Persero |
Indocement Tunggal and Semen Baturaja Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Indocement Tunggal and Semen Baturaja
The main advantage of trading using opposite Indocement Tunggal and Semen Baturaja positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Indocement Tunggal 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.| Indocement Tunggal vs. Perusahaan Gas Negara | Indocement Tunggal vs. Telkom Indonesia Tbk | Indocement Tunggal vs. Mitra Pinasthika Mustika | Indocement Tunggal vs. Jakarta Int Hotels |
| Semen Baturaja vs. Wijaya Karya Beton | Semen Baturaja vs. PP Properti Tbk | Semen Baturaja vs. Pembangunan Perumahan PT | Semen Baturaja vs. Waskita Karya Persero |
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 Volatility module to check portfolio volatility and analyze historical return density to properly model market risk.
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