Correlation Between Semen Indonesia and Impack Pratama
Can any of the company-specific risk be diversified away by investing in both Semen Indonesia and Impack Pratama 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 Impack Pratama 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 Impack Pratama Industri, you can compare the effects of market volatilities on Semen Indonesia and Impack Pratama 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 Impack Pratama. Check out your portfolio center. Please also check ongoing floating volatility patterns of Semen Indonesia and Impack Pratama.
Diversification Opportunities for Semen Indonesia and Impack Pratama
-0.06 | Correlation Coefficient |
Good diversification
The 3 months correlation between Semen and Impack is -0.06. Overlapping area represents the amount of risk that can be diversified away by holding Semen Indonesia Persero and Impack Pratama Industri in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Impack Pratama Industri 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 Impack Pratama. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Impack Pratama Industri has no effect on the direction of Semen Indonesia i.e., Semen Indonesia and Impack Pratama go up and down completely randomly.
Pair Corralation between Semen Indonesia and Impack Pratama
Assuming the 90 days trading horizon Semen Indonesia Persero is expected to under-perform the Impack Pratama. In addition to that, Semen Indonesia is 1.35 times more volatile than Impack Pratama Industri. It trades about -0.09 of its total potential returns per unit of risk. Impack Pratama Industri is currently generating about 0.01 per unit of volatility. If you would invest 33,600 in Impack Pratama Industri on September 3, 2024 and sell it today you would earn a total of 0.00 from holding Impack Pratama Industri or generate 0.0% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Insignificant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Semen Indonesia Persero vs. Impack Pratama Industri
Performance |
| Timeline |
| Semen Indonesia Persero |
| Impack Pratama Industri |
Semen Indonesia and Impack Pratama Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Semen Indonesia and Impack Pratama
The main advantage of trading using opposite Semen Indonesia and Impack Pratama positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Semen Indonesia position performs unexpectedly, Impack Pratama 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 Impack Pratama will offset losses from the drop in Impack Pratama'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 |
| Impack Pratama vs. Timah Persero Tbk | Impack Pratama vs. Semen Indonesia Persero | Impack Pratama vs. Mitra Pinasthika Mustika | Impack Pratama 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 Cryptocurrency Center module to build and monitor diversified portfolio of extremely risky digital assets and cryptocurrency.
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