Correlation Between Semen Indonesia and United Tractors

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

Diversification Opportunities for Semen Indonesia and United Tractors

0.86

Correlation Coefficient

Semen Indonesia  United Tractors

Very poor diversification

The 3 months correlation between Semen and United is 0.86. Overlapping area represents the amount of risk that can be diversified away by holding Semen Indonesia Persero and United Tractors Tbk in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on United Tractors 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 United Tractors. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of United Tractors Tbk has no effect on the direction of Semen Indonesia i.e., Semen Indonesia and United Tractors go up and down completely randomly.

Pair Corralation between Semen Indonesia and United Tractors

Assuming the 90 days trading horizon Semen Indonesia Persero is expected to under-perform the United Tractors. In addition to that, Semen Indonesia is 1.66 times more volatile than United Tractors Tbk. It trades about -0.08 of its total potential returns per unit of risk. United Tractors Tbk is currently generating about -0.09 per unit of volatility. If you would invest  2,677,500  in United Tractors Tbk on December 30, 2024 and sell it today you would lose (322,500) from holding United Tractors Tbk or give up 12.04% of portfolio value over 90 days.

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

Semen Indonesia Persero  vs.  United Tractors 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.

United Tractors Tbk

Risk-Adjusted Performance

Very Weak

Over the last 90 days United Tractors Tbk has generated negative risk-adjusted returns adding no value to investors with long positions. Despite latest conflicting performance, the Stock's forward-looking signals remain persistent and the latest mess on Wall Street may also be a sign of long-standing gains for the company institutional investors.

Pair Trading with Semen Indonesia and United Tractors

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

The idea behind Semen Indonesia Persero and United Tractors 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 Channel module to use Commodity Channel Index to analyze current equity momentum.