Correlation Between Jasa Marga and Indocement Tunggal
Can any of the company-specific risk be diversified away by investing in both Jasa Marga and Indocement Tunggal 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 Jasa Marga and Indocement Tunggal into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Jasa Marga Tbk and Indocement Tunggal Prakarsa, you can compare the effects of market volatilities on Jasa Marga and Indocement Tunggal 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 Jasa Marga with a short position of Indocement Tunggal. Check out your portfolio center. Please also check ongoing floating volatility patterns of Jasa Marga and Indocement Tunggal.
Diversification Opportunities for Jasa Marga and Indocement Tunggal
-0.11 | Correlation Coefficient |
Good diversification
The 3 months correlation between Jasa and Indocement is -0.11. Overlapping area represents the amount of risk that can be diversified away by holding Jasa Marga Tbk and Indocement Tunggal Prakarsa in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Indocement Tunggal and Jasa Marga 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 Jasa Marga Tbk are associated (or correlated) with Indocement Tunggal. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Indocement Tunggal has no effect on the direction of Jasa Marga i.e., Jasa Marga and Indocement Tunggal go up and down completely randomly.
Pair Corralation between Jasa Marga and Indocement Tunggal
Assuming the 90 days trading horizon Jasa Marga Tbk is expected to under-perform the Indocement Tunggal. But the stock apears to be less risky and, when comparing its historical volatility, Jasa Marga Tbk is 1.42 times less risky than Indocement Tunggal. The stock trades about -0.17 of its potential returns per unit of risk. The Indocement Tunggal Prakarsa is currently generating about -0.02 of returns per unit of risk over similar time horizon. If you would invest 707,500 in Indocement Tunggal Prakarsa on August 28, 2024 and sell it today you would lose (20,000) from holding Indocement Tunggal Prakarsa or give up 2.83% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Insignificant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Jasa Marga Tbk vs. Indocement Tunggal Prakarsa
Performance |
| Timeline |
| Jasa Marga Tbk |
| Indocement Tunggal |
Jasa Marga and Indocement Tunggal Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Jasa Marga and Indocement Tunggal
The main advantage of trading using opposite Jasa Marga and Indocement Tunggal positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Jasa Marga position performs unexpectedly, Indocement Tunggal 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 Indocement Tunggal will offset losses from the drop in Indocement Tunggal's long position.The idea behind Jasa Marga Tbk and Indocement Tunggal Prakarsa pairs trading is to make the combined position market-neutral, meaning the overall market's direction will not affect its win or loss (or potential downside or upside). This can be achieved by designing a pairs trade with two highly correlated stocks or equities that operate in a similar space or sector, making it possible to obtain profits through simple and relatively low-risk investment.| Indocement Tunggal vs. Kedaung Indah Can | Indocement Tunggal vs. Langgeng Makmur Industri | Indocement Tunggal vs. Kabelindo Murni Tbk | Indocement Tunggal vs. Mustika Ratu 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 Piotroski F Score module to get Piotroski F Score based on the binary analysis strategy of nine different fundamentals.
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