Correlation Between Semen Indonesia and Lotte Chemical
Can any of the company-specific risk be diversified away by investing in both Semen Indonesia and Lotte Chemical 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 Semen Indonesia and Lotte Chemical into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Semen Indonesia Persero and Lotte Chemical Titan, you can compare the effects of market volatilities on Semen Indonesia and Lotte Chemical 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 Semen Indonesia with a short position of Lotte Chemical. Check out your portfolio center. Please also check ongoing floating volatility patterns of Semen Indonesia and Lotte Chemical.
Diversification Opportunities for Semen Indonesia and Lotte Chemical
0.27 | Correlation Coefficient |
Modest diversification
The 3 months correlation between Semen and Lotte is 0.27. Overlapping area represents the amount of risk that can be diversified away by holding Semen Indonesia Persero and Lotte Chemical Titan in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Lotte Chemical Titan and Semen Indonesia 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 Semen Indonesia Persero are associated (or correlated) with Lotte Chemical. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Lotte Chemical Titan has no effect on the direction of Semen Indonesia i.e., Semen Indonesia and Lotte Chemical go up and down completely randomly.
Pair Corralation between Semen Indonesia and Lotte Chemical
Assuming the 90 days trading horizon Semen Indonesia Persero is expected to generate 1.5 times more return on investment than Lotte Chemical. However, Semen Indonesia is 1.5 times more volatile than Lotte Chemical Titan. It trades about -0.14 of its potential returns per unit of risk. Lotte Chemical Titan is currently generating about -0.36 per unit of risk. If you would invest 361,000 in Semen Indonesia Persero on September 4, 2024 and sell it today you would lose (19,000) from holding Semen Indonesia Persero or give up 5.26% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
Semen Indonesia Persero vs. Lotte Chemical Titan
Performance |
| Timeline |
| Semen Indonesia Persero |
| Lotte Chemical Titan |
Semen Indonesia and Lotte Chemical Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Semen Indonesia and Lotte Chemical
The main advantage of trading using opposite Semen Indonesia and Lotte Chemical positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Semen Indonesia position performs unexpectedly, Lotte Chemical 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 Lotte Chemical will offset losses from the drop in Lotte Chemical's long position.| Semen Indonesia vs. Indocement Tunggal Prakarsa | Semen Indonesia vs. United Tractors Tbk | Semen Indonesia vs. Jasa Marga Tbk | Semen Indonesia vs. PT Indofood Sukses |
| Lotte Chemical vs. Timah Persero Tbk | Lotte Chemical vs. Semen Indonesia Persero | Lotte Chemical vs. Mitra Pinasthika Mustika | Lotte Chemical vs. Jakarta Int Hotels |
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 Sign In To Macroaxis module to sign in to explore Macroaxis' wealth optimization platform and fintech modules.
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