Correlation Between Semen Indonesia and Kalbe Farma

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

Diversification Opportunities for Semen Indonesia and Kalbe Farma

0.92

Correlation Coefficient

Semen Indonesia  Kalbe Farma

Almost no diversification

The 3 months correlation between Semen and Kalbe is 0.92. Overlapping area represents the amount of risk that can be diversified away by holding Semen Indonesia Persero and Kalbe Farma Tbk in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Kalbe Farma 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 Kalbe Farma. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Kalbe Farma Tbk has no effect on the direction of Semen Indonesia i.e., Semen Indonesia and Kalbe Farma go up and down completely randomly.

Pair Corralation between Semen Indonesia and Kalbe Farma

Assuming the 90 days trading horizon Semen Indonesia Persero is expected to under-perform the Kalbe Farma. In addition to that, Semen Indonesia is 1.33 times more volatile than Kalbe Farma Tbk. It trades about -0.13 of its total potential returns per unit of risk. Kalbe Farma Tbk is currently generating about -0.04 per unit of volatility. If you would invest  144,060  in Kalbe Farma Tbk on October 22, 2024 and sell it today you would lose (21,560) from holding Kalbe Farma Tbk or give up 14.97% of portfolio value over 90 days.

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

Semen Indonesia Persero  vs.  Kalbe Farma Tbk

Semen Indonesia Persero

Risk-Adjusted Performance

0 of 100

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 February 2025. The latest mess may also be a sign of long-standing up-swing for the company institutional investors.

Kalbe Farma Tbk

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Kalbe Farma Tbk 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 February 2025. The latest mess may also be a sign of long-standing up-swing for the company institutional investors.

Pair Trading with Semen Indonesia and Kalbe Farma

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

The idea behind Semen Indonesia Persero and Kalbe Farma 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 Positions Ratings module to determine portfolio positions ratings based on digital equity recommendations. Macroaxis instant position ratings are based on combination of fundamental analysis and risk-adjusted market performance.