Correlation Between Semen Indonesia and Citatah Tbk

Can any of the company-specific risk be diversified away by investing in both Semen Indonesia and Citatah Tbk 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 Citatah Tbk 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 Citatah Tbk, you can compare the effects of market volatilities on Semen Indonesia and Citatah Tbk 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 Citatah Tbk. Check out your portfolio center. Please also check ongoing floating volatility patterns of Semen Indonesia and Citatah Tbk.

Diversification Opportunities for Semen Indonesia and Citatah Tbk

-0.1

Correlation Coefficient

Semen Indonesia  Citatah Tbk

Good diversification

The 3 months correlation between Semen and Citatah is -0.1. Overlapping area represents the amount of risk that can be diversified away by holding Semen Indonesia Persero and Citatah Tbk in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Citatah Tbk 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 Citatah Tbk. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Citatah Tbk has no effect on the direction of Semen Indonesia i.e., Semen Indonesia and Citatah Tbk go up and down completely randomly.

Pair Corralation between Semen Indonesia and Citatah Tbk

Assuming the 90 days trading horizon Semen Indonesia Persero is expected to under-perform the Citatah Tbk. In addition to that, Semen Indonesia is 1.67 times more volatile than Citatah Tbk. It trades about -0.08 of its total potential returns per unit of risk. Citatah Tbk is currently generating about 0.04 per unit of volatility. If you would invest  2,600  in Citatah Tbk on December 30, 2024 and sell it today you would earn a total of  100.00  from holding Citatah Tbk or generate 3.85% return on investment over 90 days.

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

Semen Indonesia Persero  vs.  Citatah Tbk

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.

Citatah Tbk

Risk-Adjusted Performance

Insignificant

Compared to the overall equity markets, risk-adjusted returns on investments in Citatah Tbk are ranked lower than 3 (%) of all global equities and portfolios over the last 90 days. Despite quite persistent forward-looking signals, Citatah Tbk is not utilizing all of its potentials. The latest stock price mess, may contribute to short-term losses for the institutional investors.

Pair Trading with Semen Indonesia and Citatah Tbk

The main advantage of trading using opposite Semen Indonesia and Citatah Tbk positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Semen Indonesia position performs unexpectedly, Citatah Tbk 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 Citatah Tbk will offset losses from the drop in Citatah Tbk's long position.

The idea behind Semen Indonesia Persero and Citatah Tbk 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 Commodity Directory module to find actively traded commodities issued by global exchanges.