Correlation Between PT Kusuma and Semen Indonesia

Can any of the company-specific risk be diversified away by investing in both PT Kusuma 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 PT Kusuma and Semen Indonesia into the same portfolio, which is an essential part of the fundamental portfolio management process.

By analyzing existing cross correlation between PT Kusuma Kemindo and Semen Indonesia Persero, you can compare the effects of market volatilities on PT Kusuma 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 PT Kusuma with a short position of Semen Indonesia. Check out your portfolio center. Please also check ongoing floating volatility patterns of PT Kusuma and Semen Indonesia.

Diversification Opportunities for PT Kusuma and Semen Indonesia

0.4

Correlation Coefficient

PT Kusuma  Semen Indonesia

Very weak diversification

The 3 months correlation between KKES and Semen is 0.4. Overlapping area represents the amount of risk that can be diversified away by holding PT Kusuma Kemindo 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 PT Kusuma 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 PT Kusuma Kemindo 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 PT Kusuma i.e., PT Kusuma and Semen Indonesia go up and down completely randomly.

Pair Corralation between PT Kusuma and Semen Indonesia

Assuming the 90 days trading horizon PT Kusuma Kemindo is expected to generate 1.33 times more return on investment than Semen Indonesia. However, PT Kusuma is 1.33 times more volatile than Semen Indonesia Persero. It trades about 0.1 of its potential returns per unit of risk. Semen Indonesia Persero is currently generating about -0.23 per unit of risk. If you would invest  2,200  in PT Kusuma Kemindo on December 1, 2024 and sell it today you would earn a total of  400.00  from holding PT Kusuma Kemindo or generate 18.18% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Together
Strength	Weak
Accuracy	100.0%
Values	Daily Returns

PT Kusuma Kemindo  vs.  Semen Indonesia Persero

PT Kusuma Kemindo

Risk-Adjusted Performance

OK

Compared to the overall equity markets, risk-adjusted returns on investments in PT Kusuma Kemindo are ranked lower than 7 (%) of all global equities and portfolios over the last 90 days. Despite quite conflicting forward-looking signals, PT Kusuma disclosed solid returns over the last few months and may actually be approaching a breakup point.

Semen Indonesia Persero

Risk-Adjusted Performance

Very Weak

Over the last 90 days Semen Indonesia Persero has generated negative risk-adjusted returns adding no value to investors with long positions. Despite conflicting performance in the last few months, the Stock's forward-looking signals remain quite persistent which may send shares a bit higher in April 2025. The latest mess may also be a sign of long-standing up-swing for the company institutional investors.

Pair Trading with PT Kusuma and Semen Indonesia

The main advantage of trading using opposite PT Kusuma and Semen Indonesia positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if PT Kusuma 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.

The idea behind PT Kusuma Kemindo and Semen Indonesia Persero pairs trading is to make the combined position market-neutral, meaning the overall market's direction will not affect its win or loss (or potential downside or upside). This can be achieved by designing a pairs trade with two highly correlated stocks or equities that operate in a similar space or sector, making it possible to obtain profits through simple and relatively low-risk investment.

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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 Idea Analyzer module to analyze all characteristics, volatility and risk-adjusted return of Macroaxis ideas.