Correlation Between PT Semen and Trend Micro
Can any of the company-specific risk be diversified away by investing in both PT Semen and Trend Micro 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 Trend Micro 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 Trend Micro ADR, you can compare the effects of market volatilities on PT Semen and Trend Micro 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 Trend Micro. Check out your portfolio center. Please also check ongoing floating volatility patterns of PT Semen and Trend Micro.
Diversification Opportunities for PT Semen and Trend Micro
0.77 | Correlation Coefficient |
Poor diversification
The 3 months correlation between PSGTF and Trend is 0.77. Overlapping area represents the amount of risk that can be diversified away by holding PT Semen Indonesia and Trend Micro ADR in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Trend Micro ADR 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 Trend Micro. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Trend Micro ADR has no effect on the direction of PT Semen i.e., PT Semen and Trend Micro go up and down completely randomly.
Pair Corralation between PT Semen and Trend Micro
Assuming the 90 days horizon PT Semen Indonesia is expected to under-perform the Trend Micro. In addition to that, PT Semen is 1.36 times more volatile than Trend Micro ADR. It trades about -0.22 of its total potential returns per unit of risk. Trend Micro ADR is currently generating about 0.21 per unit of volatility. If you would invest 5,169 in Trend Micro ADR on September 13, 2024 and sell it today you would earn a total of 423.00 from holding Trend Micro ADR or generate 8.18% return on investment over 90 days.
Time Period | 3 Months [change] |
Direction | Moves Together |
Strength | Significant |
Accuracy | 100.0% |
Values | Daily Returns |
PT Semen Indonesia vs. Trend Micro ADR
Performance |
Timeline |
PT Semen Indonesia |
Trend Micro ADR |
PT Semen and Trend Micro Volatility Contrast
Predicted Return Density |
Returns |
Pair Trading with PT Semen and Trend Micro
The main advantage of trading using opposite PT Semen and Trend Micro positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if PT Semen position performs unexpectedly, Trend Micro 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 Trend Micro will offset losses from the drop in Trend Micro's long position.PT Semen vs. CRH PLC ADR | PT Semen vs. Holcim | PT Semen vs. Lafargeholcim Ltd ADR | PT Semen vs. Vulcan Materials |
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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 Price Exposure Probability module to analyze equity upside and downside potential for a given time horizon across multiple markets.
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