Correlation Between PACCAR and PT Semen
Can any of the company-specific risk be diversified away by investing in both PACCAR and PT Semen 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 PACCAR and PT Semen into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between PACCAR Inc and PT Semen Indonesia, you can compare the effects of market volatilities on PACCAR and PT Semen 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 PACCAR with a short position of PT Semen. Check out your portfolio center. Please also check ongoing floating volatility patterns of PACCAR and PT Semen.
Diversification Opportunities for PACCAR and PT Semen
Pay attention - limited upside
The 3 months correlation between PACCAR and PSGTF is -0.71. Overlapping area represents the amount of risk that can be diversified away by holding PACCAR Inc and PT Semen Indonesia in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on PT Semen Indonesia and PACCAR 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 PACCAR Inc are associated (or correlated) with PT Semen. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of PT Semen Indonesia has no effect on the direction of PACCAR i.e., PACCAR and PT Semen go up and down completely randomly.
Pair Corralation between PACCAR and PT Semen
Given the investment horizon of 90 days PACCAR Inc is expected to generate 0.55 times more return on investment than PT Semen. However, PACCAR Inc is 1.81 times less risky than PT Semen. It trades about -0.06 of its potential returns per unit of risk. PT Semen Indonesia is currently generating about -0.22 per unit of risk. If you would invest 11,506 in PACCAR Inc on September 15, 2024 and sell it today you would lose (205.00) from holding PACCAR Inc or give up 1.78% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
PACCAR Inc vs. PT Semen Indonesia
Performance |
| Timeline |
| PACCAR Inc |
| PT Semen Indonesia |
PACCAR and PT Semen Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with PACCAR and PT Semen
The main advantage of trading using opposite PACCAR and PT Semen positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if PACCAR position performs unexpectedly, PT Semen 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 PT Semen will offset losses from the drop in PT Semen's long position.The idea behind PACCAR Inc and PT Semen Indonesia 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.| PT Semen vs. Comstock Holding Companies | PT Semen vs. Gentex | PT Semen vs. PACCAR Inc | PT Semen vs. CapitaLand Investment Limited |
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 Analyzer module to portfolio analysis module that provides access to portfolio diagnostics and optimization engine.
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