Correlation Between PT Semen and GSE Systems
Can any of the company-specific risk be diversified away by investing in both PT Semen and GSE Systems 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 PT Semen and GSE Systems into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between PT Semen Indonesia and GSE Systems, you can compare the effects of market volatilities on PT Semen and GSE Systems 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 PT Semen with a short position of GSE Systems. Check out your portfolio center. Please also check ongoing floating volatility patterns of PT Semen and GSE Systems.
Diversification Opportunities for PT Semen and GSE Systems
-0.72 | Correlation Coefficient |
Pay attention - limited upside
The 3 months correlation between PSGTF and GSE is -0.72. Overlapping area represents the amount of risk that can be diversified away by holding PT Semen Indonesia and GSE Systems in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on GSE Systems and PT Semen 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 PT Semen Indonesia are associated (or correlated) with GSE Systems. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of GSE Systems has no effect on the direction of PT Semen i.e., PT Semen and GSE Systems go up and down completely randomly.
Pair Corralation between PT Semen and GSE Systems
Assuming the 90 days horizon PT Semen Indonesia is expected to under-perform the GSE Systems. But the pink sheet apears to be less risky and, when comparing its historical volatility, PT Semen Indonesia is 1.38 times less risky than GSE Systems. The pink sheet trades about -0.15 of its potential returns per unit of risk. The GSE Systems is currently generating about 0.29 of returns per unit of risk over similar time horizon. If you would invest 415.00 in GSE Systems on September 13, 2024 and sell it today you would earn a total of 44.00 from holding GSE Systems or generate 10.6% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Weak |
| Accuracy | 35.71% |
| Values | Daily Returns |
PT Semen Indonesia vs. GSE Systems
Performance |
| Timeline |
| PT Semen Indonesia |
| GSE Systems |
Risk-Adjusted Performance
0 of 100
Weak | Strong |
Solid
PT Semen and GSE Systems Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with PT Semen and GSE Systems
The main advantage of trading using opposite PT Semen and GSE Systems positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if PT Semen position performs unexpectedly, GSE Systems 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 GSE Systems will offset losses from the drop in GSE Systems' long position.| PT Semen vs. CRH PLC ADR | PT Semen vs. Holcim | PT Semen vs. Lafargeholcim Ltd ADR | PT Semen vs. Vulcan Materials |
| GSE Systems vs. LifeSpeak | GSE Systems vs. RenoWorks Software | GSE Systems vs. 01 Communique Laboratory | GSE Systems vs. RESAAS Services |
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 My Watchlist Analysis module to analyze my current watchlist and to refresh optimization strategy. Macroaxis watchlist is based on self-learning algorithm to remember stocks you like.
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