Correlation Between Semen Indonesia and Wijaya Karya
Can any of the company-specific risk be diversified away by investing in both Semen Indonesia and Wijaya Karya 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 Wijaya Karya 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 Wijaya Karya Beton, you can compare the effects of market volatilities on Semen Indonesia and Wijaya Karya 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 Wijaya Karya. Check out your portfolio center. Please also check ongoing floating volatility patterns of Semen Indonesia and Wijaya Karya.
Diversification Opportunities for Semen Indonesia and Wijaya Karya
0.76 | Correlation Coefficient |
Poor diversification
The 3 months correlation between Semen and Wijaya is 0.76. Overlapping area represents the amount of risk that can be diversified away by holding Semen Indonesia Persero and Wijaya Karya Beton in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Wijaya Karya Beton 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 Wijaya Karya. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Wijaya Karya Beton has no effect on the direction of Semen Indonesia i.e., Semen Indonesia and Wijaya Karya go up and down completely randomly.
Pair Corralation between Semen Indonesia and Wijaya Karya
Assuming the 90 days trading horizon Semen Indonesia Persero is expected to generate 1.47 times more return on investment than Wijaya Karya. However, Semen Indonesia is 1.47 times more volatile than Wijaya Karya Beton. It trades about -0.08 of its potential returns per unit of risk. Wijaya Karya Beton is currently generating about -0.18 per unit of risk. If you would invest 395,000 in Semen Indonesia Persero on September 13, 2024 and sell it today you would lose (51,000) from holding Semen Indonesia Persero or give up 12.91% 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. Wijaya Karya Beton
Performance |
| Timeline |
| Semen Indonesia Persero |
| Wijaya Karya Beton |
Semen Indonesia and Wijaya Karya Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Semen Indonesia and Wijaya Karya
The main advantage of trading using opposite Semen Indonesia and Wijaya Karya positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Semen Indonesia position performs unexpectedly, Wijaya Karya 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 Wijaya Karya will offset losses from the drop in Wijaya Karya's long position.| Semen Indonesia vs. Kedaung Indah Can | Semen Indonesia vs. Kabelindo Murni Tbk | Semen Indonesia vs. Champion Pacific Indonesia | Semen Indonesia vs. Bhuwanatala Indah Permai |
| Wijaya Karya vs. Kedaung Indah Can | Wijaya Karya vs. Kabelindo Murni Tbk | Wijaya Karya vs. Champion Pacific Indonesia | Wijaya Karya vs. Bhuwanatala Indah Permai |
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 Portfolio Optimization module to compute new portfolio that will generate highest expected return given your specified tolerance for risk.
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