Correlation Between Semen Indonesia and Chandra Asri

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

Diversification Opportunities for Semen Indonesia and Chandra Asri

0.3

Correlation Coefficient

Semen Indonesia  Chandra Asri

Weak diversification

The 3 months correlation between Semen and Chandra is 0.3. Overlapping area represents the amount of risk that can be diversified away by holding Semen Indonesia Persero and Chandra Asri Petrochemical in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Chandra Asri Petroch 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 Chandra Asri. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Chandra Asri Petroch has no effect on the direction of Semen Indonesia i.e., Semen Indonesia and Chandra Asri go up and down completely randomly.

Pair Corralation between Semen Indonesia and Chandra Asri

Assuming the 90 days trading horizon Semen Indonesia Persero is expected to under-perform the Chandra Asri. But the stock apears to be less risky and, when comparing its historical volatility, Semen Indonesia Persero is 1.75 times less risky than Chandra Asri. The stock trades about -0.08 of its potential returns per unit of risk. The Chandra Asri Petrochemical is currently generating about 0.02 of returns per unit of risk over similar time horizon. If you would invest  750,000  in Chandra Asri Petrochemical on December 30, 2024 and sell it today you would lose (30,000) from holding Chandra Asri Petrochemical or give up 4.0% of portfolio value over 90 days.

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

Semen Indonesia Persero  vs.  Chandra Asri Petrochemical

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.

Chandra Asri Petroch

Risk-Adjusted Performance

Weak

Compared to the overall equity markets, risk-adjusted returns on investments in Chandra Asri Petrochemical are ranked lower than 1 (%) of all global equities and portfolios over the last 90 days. Despite quite conflicting forward-looking signals, Chandra Asri may actually be approaching a critical reversion point that can send shares even higher in April 2025.

Pair Trading with Semen Indonesia and Chandra Asri

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

The idea behind Semen Indonesia Persero and Chandra Asri Petrochemical 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 Content Syndication module to quickly integrate customizable finance content to your own investment portal.