Correlation Between Semen Indonesia and Bukit Asam
Can any of the company-specific risk be diversified away by investing in both Semen Indonesia and Bukit Asam 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 Bukit Asam 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 Bukit Asam Tbk, you can compare the effects of market volatilities on Semen Indonesia and Bukit Asam 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 Bukit Asam. Check out your portfolio center. Please also check ongoing floating volatility patterns of Semen Indonesia and Bukit Asam.
Diversification Opportunities for Semen Indonesia and Bukit Asam
0.66 | Correlation Coefficient |
Poor diversification
The 3 months correlation between Semen and Bukit is 0.66. Overlapping area represents the amount of risk that can be diversified away by holding Semen Indonesia Persero and Bukit Asam Tbk in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Bukit Asam Tbk 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 Bukit Asam. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Bukit Asam Tbk has no effect on the direction of Semen Indonesia i.e., Semen Indonesia and Bukit Asam go up and down completely randomly.
Pair Corralation between Semen Indonesia and Bukit Asam
Assuming the 90 days trading horizon Semen Indonesia Persero is expected to under-perform the Bukit Asam. But the stock apears to be less risky and, when comparing its historical volatility, Semen Indonesia Persero is 1.09 times less risky than Bukit Asam. The stock trades about -0.09 of its potential returns per unit of risk. The Bukit Asam Tbk is currently generating about 0.04 of returns per unit of risk over similar time horizon. If you would invest 205,135 in Bukit Asam Tbk on November 2, 2024 and sell it today you would earn a total of 60,865 from holding Bukit Asam Tbk or generate 29.67% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 99.79% |
| Values | Daily Returns |
Semen Indonesia Persero vs. Bukit Asam Tbk
Performance |
| Timeline |
| Semen Indonesia Persero |
| Bukit Asam Tbk |
Semen Indonesia and Bukit Asam Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Semen Indonesia and Bukit Asam
The main advantage of trading using opposite Semen Indonesia and Bukit Asam positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Semen Indonesia position performs unexpectedly, Bukit Asam 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 Bukit Asam will offset losses from the drop in Bukit Asam'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 |
| Bukit Asam vs. Perusahaan Gas Negara | Bukit Asam vs. Indo Tambangraya Megah | Bukit Asam vs. Aneka Tambang Persero | Bukit Asam vs. Adaro Energy 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 Bonds Directory module to find actively traded corporate debentures issued by US companies.
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