Correlation Between Semen Indonesia and Indocement Tunggal
Can any of the company-specific risk be diversified away by investing in both Semen Indonesia 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 Semen Indonesia and Indocement Tunggal 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 Indocement Tunggal Prakarsa, you can compare the effects of market volatilities on Semen Indonesia 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 Semen Indonesia with a short position of Indocement Tunggal. Check out your portfolio center. Please also check ongoing floating volatility patterns of Semen Indonesia and Indocement Tunggal.
Diversification Opportunities for Semen Indonesia and Indocement Tunggal
0.75 | Correlation Coefficient |
Poor diversification
The 3 months correlation between Semen and Indocement is 0.75. Overlapping area represents the amount of risk that can be diversified away by holding Semen Indonesia Persero and Indocement Tunggal Prakarsa in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Indocement Tunggal 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 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 Semen Indonesia i.e., Semen Indonesia and Indocement Tunggal go up and down completely randomly.
Pair Corralation between Semen Indonesia and Indocement Tunggal
Assuming the 90 days trading horizon Semen Indonesia Persero is expected to generate 1.49 times more return on investment than Indocement Tunggal. However, Semen Indonesia is 1.49 times more volatile than Indocement Tunggal Prakarsa. It trades about -0.33 of its potential returns per unit of risk. Indocement Tunggal Prakarsa is currently generating about -0.6 per unit of risk. If you would invest 327,000 in Semen Indonesia Persero on November 4, 2024 and sell it today you would lose (46,000) from holding Semen Indonesia Persero or give up 14.07% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Semen Indonesia Persero vs. Indocement Tunggal Prakarsa
Performance |
| Timeline |
| Semen Indonesia Persero |
| Indocement Tunggal |
Semen Indonesia and Indocement Tunggal Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Semen Indonesia and Indocement Tunggal
The main advantage of trading using opposite Semen Indonesia and Indocement Tunggal positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Semen Indonesia 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.| Semen Indonesia vs. Indocement Tunggal Prakarsa | Semen Indonesia vs. United Tractors Tbk | Semen Indonesia vs. Jasa Marga Tbk | Semen Indonesia vs. PT Indofood Sukses |
| 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 Headlines Timeline module to stay connected to all market stories and filter out noise. Drill down to analyze hype elasticity.
Other Complementary Tools
| Sign In To Macroaxis Sign in to explore Macroaxis' wealth optimization platform and fintech modules | |
| Bond Analysis Evaluate and analyze corporate bonds as a potential investment for your portfolios. | |
| Stocks Directory Find actively traded stocks across global markets | |
| Analyst Advice Analyst recommendations and target price estimates broken down by several categories | |
| Sectors List of equity sectors categorizing publicly traded companies based on their primary business activities |