Correlation Between Perusahaan Gas and Indocement Tunggal
Can any of the company-specific risk be diversified away by investing in both Perusahaan Gas 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 Perusahaan Gas and Indocement Tunggal into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Perusahaan Gas Negara and Indocement Tunggal Prakarsa, you can compare the effects of market volatilities on Perusahaan Gas 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 Perusahaan Gas with a short position of Indocement Tunggal. Check out your portfolio center. Please also check ongoing floating volatility patterns of Perusahaan Gas and Indocement Tunggal.
Diversification Opportunities for Perusahaan Gas and Indocement Tunggal
-0.42 | Correlation Coefficient |
Very good diversification
The 3 months correlation between Perusahaan and Indocement is -0.42. Overlapping area represents the amount of risk that can be diversified away by holding Perusahaan Gas Negara and Indocement Tunggal Prakarsa in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Indocement Tunggal and Perusahaan Gas 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 Perusahaan Gas Negara 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 Perusahaan Gas i.e., Perusahaan Gas and Indocement Tunggal go up and down completely randomly.
Pair Corralation between Perusahaan Gas and Indocement Tunggal
Assuming the 90 days trading horizon Perusahaan Gas Negara is expected to generate 0.97 times more return on investment than Indocement Tunggal. However, Perusahaan Gas Negara is 1.04 times less risky than Indocement Tunggal. It trades about 0.04 of its potential returns per unit of risk. Indocement Tunggal Prakarsa is currently generating about -0.07 per unit of risk. If you would invest 127,905 in Perusahaan Gas Negara on November 19, 2024 and sell it today you would earn a total of 36,095 from holding Perusahaan Gas Negara or generate 28.22% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Very Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
Perusahaan Gas Negara vs. Indocement Tunggal Prakarsa
Performance |
| Timeline |
| Perusahaan Gas Negara |
| Indocement Tunggal |
Perusahaan Gas and Indocement Tunggal Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Perusahaan Gas and Indocement Tunggal
The main advantage of trading using opposite Perusahaan Gas and Indocement Tunggal positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Perusahaan Gas 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.| Perusahaan Gas vs. Aneka Tambang Persero | Perusahaan Gas vs. Bukit Asam Tbk | Perusahaan Gas vs. Telkom Indonesia Tbk | Perusahaan Gas vs. Astra International Tbk |
| Indocement Tunggal vs. Semen Indonesia Persero | Indocement Tunggal vs. United Tractors Tbk | Indocement Tunggal vs. PT Indofood Sukses | Indocement Tunggal vs. Kalbe Farma 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 Idea Analyzer module to analyze all characteristics, volatility and risk-adjusted return of Macroaxis ideas.
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