Correlation Between Semen Indonesia and Chandra Asri
Can any of the company-specific risk be diversified away by investing in both Semen Indonesia and Chandra Asri 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 Chandra Asri 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 Chandra Asri Petrochemical, you can compare the effects of market volatilities on Semen Indonesia and Chandra Asri 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 Chandra Asri. Check out your portfolio center. Please also check ongoing floating volatility patterns of Semen Indonesia and Chandra Asri.
Diversification Opportunities for Semen Indonesia and Chandra Asri
0.74 | Correlation Coefficient |
Poor diversification
The 3 months correlation between Semen and Chandra is 0.74. Overlapping area represents the amount of risk that can be diversified away by holding Semen Indonesia Persero and Chandra Asri Petrochemical in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Chandra Asri Petroch 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 Chandra Asri. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Chandra Asri Petroch has no effect on the direction of Semen Indonesia i.e., Semen Indonesia and Chandra Asri go up and down completely randomly.
Pair Corralation between Semen Indonesia and Chandra Asri
Assuming the 90 days trading horizon Semen Indonesia Persero is expected to under-perform the Chandra Asri. But the stock apears to be less risky and, when comparing its historical volatility, Semen Indonesia Persero is 1.89 times less risky than Chandra Asri. The stock trades about -0.06 of its potential returns per unit of risk. The Chandra Asri Petrochemical is currently generating about 0.08 of returns per unit of risk over similar time horizon. If you would invest 245,248 in Chandra Asri Petrochemical on September 3, 2024 and sell it today you would earn a total of 439,752 from holding Chandra Asri Petrochemical or generate 179.31% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Semen Indonesia Persero vs. Chandra Asri Petrochemical
Performance |
| Timeline |
| Semen Indonesia Persero |
| Chandra Asri Petroch |
Semen Indonesia and Chandra Asri Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Semen Indonesia and Chandra Asri
The main advantage of trading using opposite Semen Indonesia and Chandra Asri positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Semen Indonesia position performs unexpectedly, Chandra Asri 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 Chandra Asri will offset losses from the drop in Chandra Asri'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 |
| Chandra Asri vs. Timah Persero Tbk | Chandra Asri vs. Semen Indonesia Persero | Chandra Asri vs. Mitra Pinasthika Mustika | Chandra Asri 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 Money Flow Index module to determine momentum by analyzing Money Flow Index and other technical indicators.
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