Correlation Between Indocement Tunggal and Semen Indonesia
Can any of the company-specific risk be diversified away by investing in both Indocement Tunggal and Semen Indonesia 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 Indonesia 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 Indonesia Persero, you can compare the effects of market volatilities on Indocement Tunggal 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 Indocement Tunggal with a short position of Semen Indonesia. Check out your portfolio center. Please also check ongoing floating volatility patterns of Indocement Tunggal and Semen Indonesia.
Diversification Opportunities for Indocement Tunggal and Semen Indonesia
0.71 | Correlation Coefficient |
Poor diversification
The 3 months correlation between Indocement and Semen is 0.71. Overlapping area represents the amount of risk that can be diversified away by holding Indocement Tunggal Prakarsa 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 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 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 Indocement Tunggal i.e., Indocement Tunggal and Semen Indonesia go up and down completely randomly.
Pair Corralation between Indocement Tunggal and Semen Indonesia
Assuming the 90 days trading horizon Indocement Tunggal Prakarsa is expected to generate 0.74 times more return on investment than Semen Indonesia. However, Indocement Tunggal Prakarsa is 1.35 times less risky than Semen Indonesia. It trades about -0.23 of its potential returns per unit of risk. Semen Indonesia Persero is currently generating about -0.25 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 (60,000) from holding Indocement Tunggal Prakarsa or give up 8.03% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Indocement Tunggal Prakarsa vs. Semen Indonesia Persero
Performance |
| Timeline |
| Indocement Tunggal |
| Semen Indonesia Persero |
Indocement Tunggal and Semen Indonesia Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Indocement Tunggal and Semen Indonesia
The main advantage of trading using opposite Indocement Tunggal and Semen Indonesia positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Indocement Tunggal 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.| Indocement Tunggal vs. Kedaung Indah Can | Indocement Tunggal vs. Langgeng Makmur Industri | Indocement Tunggal vs. Kabelindo Murni Tbk | Indocement Tunggal vs. Mustika Ratu Tbk |
| 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 Equity Forecasting module to use basic forecasting models to generate price predictions and determine price momentum.
Other Complementary Tools
| Analyst Advice Analyst recommendations and target price estimates broken down by several categories | |
| ETFs Find actively traded Exchange Traded Funds (ETF) from around the world | |
| Technical Analysis Check basic technical indicators and analysis based on most latest market data | |
| Risk-Return Analysis View associations between returns expected from investment and the risk you assume | |
| Equity Analysis Research over 250,000 global equities including funds, stocks and ETFs to find investment opportunities |