Correlation Between Wijaya Karya and Semen Indonesia
Can any of the company-specific risk be diversified away by investing in both Wijaya Karya and Semen Indonesia 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 Wijaya Karya and Semen Indonesia into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Wijaya Karya Beton and Semen Indonesia Persero, you can compare the effects of market volatilities on Wijaya Karya and Semen Indonesia 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 Wijaya Karya with a short position of Semen Indonesia. Check out your portfolio center. Please also check ongoing floating volatility patterns of Wijaya Karya and Semen Indonesia.
Diversification Opportunities for Wijaya Karya and Semen Indonesia
0.58 | Correlation Coefficient |
Very weak diversification
The 3 months correlation between Wijaya and Semen is 0.58. Overlapping area represents the amount of risk that can be diversified away by holding Wijaya Karya Beton and Semen Indonesia Persero in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Semen Indonesia Persero and Wijaya Karya 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 Wijaya Karya Beton are associated (or correlated) with Semen Indonesia. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Semen Indonesia Persero has no effect on the direction of Wijaya Karya i.e., Wijaya Karya and Semen Indonesia go up and down completely randomly.
Pair Corralation between Wijaya Karya and Semen Indonesia
Assuming the 90 days trading horizon Wijaya Karya Beton is expected to under-perform the Semen Indonesia. In addition to that, Wijaya Karya is 1.62 times more volatile than Semen Indonesia Persero. It trades about -0.2 of its total potential returns per unit of risk. Semen Indonesia Persero is currently generating about -0.3 per unit of volatility. If you would invest 429,000 in Semen Indonesia Persero on August 25, 2024 and sell it today you would lose (70,000) from holding Semen Indonesia Persero or give up 16.32% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
Wijaya Karya Beton vs. Semen Indonesia Persero
Performance |
| Timeline |
| Wijaya Karya Beton |
| Semen Indonesia Persero |
Wijaya Karya and Semen Indonesia Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Wijaya Karya and Semen Indonesia
The main advantage of trading using opposite Wijaya Karya and Semen Indonesia positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Wijaya Karya position performs unexpectedly, Semen Indonesia 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 Semen Indonesia will offset losses from the drop in Semen Indonesia's long position.| Wijaya Karya vs. Rukun Raharja Tbk | Wijaya Karya vs. PT Temas Tbk | Wijaya Karya vs. Weha Transportasi Indonesia |
| Semen Indonesia vs. Indocement Tunggal Prakarsa | Semen Indonesia vs. United Tractors Tbk | Semen Indonesia vs. Jasa Marga Tbk | Semen Indonesia vs. PT Indofood Sukses |
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 Alpha Finder module to use alpha and beta coefficients to find investment opportunities after accounting for the risk.
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