Correlation Between Semen Indonesia and J Resources
Can any of the company-specific risk be diversified away by investing in both Semen Indonesia and J Resources 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 J Resources 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 J Resources Asia, you can compare the effects of market volatilities on Semen Indonesia and J Resources 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 J Resources. Check out your portfolio center. Please also check ongoing floating volatility patterns of Semen Indonesia and J Resources.
Diversification Opportunities for Semen Indonesia and J Resources
0.48 | Correlation Coefficient |
Very weak diversification
The 3 months correlation between Semen and PSAB is 0.48. Overlapping area represents the amount of risk that can be diversified away by holding Semen Indonesia Persero and J Resources Asia in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on J Resources Asia 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 J Resources. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of J Resources Asia has no effect on the direction of Semen Indonesia i.e., Semen Indonesia and J Resources go up and down completely randomly.
Pair Corralation between Semen Indonesia and J Resources
Assuming the 90 days trading horizon Semen Indonesia Persero is expected to under-perform the J Resources. But the stock apears to be less risky and, when comparing its historical volatility, Semen Indonesia Persero is 1.89 times less risky than J Resources. The stock trades about -0.23 of its potential returns per unit of risk. The J Resources Asia is currently generating about -0.03 of returns per unit of risk over similar time horizon. If you would invest 30,200 in J Resources Asia on December 2, 2024 and sell it today you would lose (4,800) from holding J Resources Asia or give up 15.89% of portfolio value over 90 days.
Time Period | 3 Months [change] |
Direction | Moves Together |
Strength | Weak |
Accuracy | 100.0% |
Values | Daily Returns |
Semen Indonesia Persero vs. J Resources Asia
Performance |
Timeline |
Semen Indonesia Persero |
J Resources Asia |
Semen Indonesia and J Resources Volatility Contrast
Predicted Return Density |
Returns |
Pair Trading with Semen Indonesia and J Resources
The main advantage of trading using opposite Semen Indonesia and J Resources positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Semen Indonesia position performs unexpectedly, J Resources 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 J Resources will offset losses from the drop in J Resources' long position.Semen Indonesia vs. Indocement Tunggal Prakarsa | Semen Indonesia vs. United Tractors Tbk | Semen Indonesia vs. Jasa Marga Tbk | Semen Indonesia vs. PT Indofood Sukses |
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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 Earnings Calls module to check upcoming earnings announcements updated hourly across public exchanges.
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