Correlation Between Wijaya Karya and Semen Baturaja
Can any of the company-specific risk be diversified away by investing in both Wijaya Karya and Semen Baturaja 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 Baturaja 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 Baturaja Persero, you can compare the effects of market volatilities on Wijaya Karya and Semen Baturaja 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 Baturaja. Check out your portfolio center. Please also check ongoing floating volatility patterns of Wijaya Karya and Semen Baturaja.
Diversification Opportunities for Wijaya Karya and Semen Baturaja
0.89 | Correlation Coefficient |
Very poor diversification
The 3 months correlation between Wijaya and Semen is 0.89. Overlapping area represents the amount of risk that can be diversified away by holding Wijaya Karya Beton and Semen Baturaja Persero in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Semen Baturaja 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 Baturaja. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Semen Baturaja Persero has no effect on the direction of Wijaya Karya i.e., Wijaya Karya and Semen Baturaja go up and down completely randomly.
Pair Corralation between Wijaya Karya and Semen Baturaja
Assuming the 90 days trading horizon Wijaya Karya Beton is expected to under-perform the Semen Baturaja. In addition to that, Wijaya Karya is 2.69 times more volatile than Semen Baturaja Persero. It trades about -0.16 of its total potential returns per unit of risk. Semen Baturaja Persero is currently generating about -0.4 per unit of volatility. If you would invest 20,400 in Semen Baturaja Persero on November 4, 2024 and sell it today you would lose (1,300) from holding Semen Baturaja Persero or give up 6.37% of portfolio value over 90 days.
Time Period | 3 Months [change] |
Direction | Moves Together |
Strength | Strong |
Accuracy | 100.0% |
Values | Daily Returns |
Wijaya Karya Beton vs. Semen Baturaja Persero
Performance |
Timeline |
Wijaya Karya Beton |
Semen Baturaja Persero |
Wijaya Karya and Semen Baturaja Volatility Contrast
Predicted Return Density |
Returns |
Pair Trading with Wijaya Karya and Semen Baturaja
The main advantage of trading using opposite Wijaya Karya and Semen Baturaja positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Wijaya Karya position performs unexpectedly, Semen Baturaja 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 Baturaja will offset losses from the drop in Semen Baturaja's long position.Wijaya Karya vs. Waskita Karya Persero | Wijaya Karya vs. Waskita Beton Precast | Wijaya Karya vs. Pembangunan Perumahan PT | Wijaya Karya vs. Wijaya Karya Beton |
Semen Baturaja vs. Wijaya Karya Beton | Semen Baturaja vs. PP Properti Tbk | Semen Baturaja vs. Pembangunan Perumahan PT | Semen Baturaja vs. Waskita Karya Persero |
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 Stocks Directory module to find actively traded stocks across global markets.
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