Bank Correlations

BPHLFDelisted Stock

USD 1.85 0.00 0.00%

The current 90-days correlation between Bank and Absa Group Ltd is -0.19 (i.e., Good diversification). The correlation of Bank is a statistical measure of how it moves in relation to other instruments. This measure is expressed in what is known as the correlation coefficient, which ranges between -1 and +1. A correlation greater than 0.8 is generally described as strong, whereas a correlation less than 0.5 is generally considered weak.

Bank Correlation With Market

Modest diversification

The correlation between Bank and DJI is 0.29 (i.e., Modest diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Bank and DJI in the same portfolio, assuming nothing else is changed.

The ability to find closely correlated positions to Bank could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Bank when you sell it. If you don't do this, your portfolio allocation will be skewed against your target asset allocation. So, investors can't just sell and buy back Bank - that would be a violation of the tax code under the "wash sale" rule, and this is why you need to find a similar enough asset and use the proceeds from selling Bank to buy it.

Moving together with Bank Pink Sheet

0.61	BBDC4	Banco Bradesco SA Earnings Call This Week	Pair Corr
0.61	ITUB	Itau Unibanco Banco Earnings Call This Week	Pair Corr
0.74	COHG	Cheetah Oil Gas	Pair Corr

Moving against Bank Pink Sheet

0.48	CIHKY	China Merchants Bank	Pair Corr
0.46	HDB	HDFC Bank Limited	Pair Corr
0.45	IBN	ICICI Bank Limited	Pair Corr
0.41	HPQ	HP Inc	Pair Corr
0.36	T	ATT Inc Earnings Call This Week	Pair Corr

Related Correlations Analysis

	AGRPY	ALBKY	BKKPF	BKKLY	ISDAF	BPIRY	PTBRY	BWAGF	CRDIY	BPIRF
AGRPY		0.43	0.92	0.84	0.81	0.62	0.13	0.95	0.65	0.4	AGRPY
ALBKY	0.43		0.46	0.16	0.18	0.17	-0.08	0.47	0.43	0.83	ALBKY
BKKPF	0.92	0.46		0.84	0.77	0.64	-0.05	0.92	0.69	0.4	BKKPF
BKKLY	0.84	0.16	0.84		0.76	0.63	-0.01	0.84	0.53	0.09	BKKLY
ISDAF	0.81	0.18	0.77	0.76		0.59	0.14	0.8	0.5	0.18	ISDAF
BPIRY	0.62	0.17	0.64	0.63	0.59		0.06	0.66	0.54	0.37	BPIRY
PTBRY	0.13	-0.08	-0.05	-0.01	0.14	0.06		0.16	0.25	0.05	PTBRY
BWAGF	0.95	0.47	0.92	0.84	0.8	0.66	0.16		0.69	0.48	BWAGF
CRDIY	0.65	0.43	0.69	0.53	0.5	0.54	0.25	0.69		0.47	CRDIY
BPIRF	0.4	0.83	0.4	0.09	0.18	0.37	0.05	0.48	0.47		BPIRF
	AGRPY	ALBKY	BKKPF	BKKLY	ISDAF	BPIRY	PTBRY	BWAGF	CRDIY	BPIRF

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Correlation Matchups

Over a given time period, the two securities move together when the Correlation Coefficient is positive. Conversely, the two assets move in opposite directions when the Correlation Coefficient is negative. Determining your positions' relationship to each other is valuable for analyzing and projecting your portfolio's future expected return and risk.

High positive correlations

BWAGF	+ 0.95	AGRPY
BKKPF	+ 0.92	AGRPY
BWAGF	+ 0.92	BKKPF
BKKLY	+ 0.84	AGRPY
BKKLY	+ 0.84	BKKPF
BWAGF	+ 0.84	BKKLY

High negative correlations

PTBRY	- 0.08	ALBKY
PTBRY	- 0.05	BKKPF
PTBRY	- 0.01	BKKLY

Risk-Adjusted Indicators

There is a big difference between Bank Pink Sheet performing well and Bank Company doing well as a business compared to the competition. There are so many exceptions to the norm that investors cannot definitively determine what's good or bad unless they analyze Bank's multiple risk-adjusted performance indicators across the competitive landscape. These indicators are quantitative in nature and help investors forecast volatility and risk-adjusted expected returns across various positions.

	Mean Deviation	Jensen Alpha	Sortino Ratio	Treynor Ratio	Semi Deviation	Expected Shortfall	Potential Upside	Value @Risk	Maximum Drawdown
AGRPY	1.78	0.55	0.16	3.04	1.56	(2.88)	6.57	(3.62)	13.84
ALBKY	2.99	0.28	0.06	0.64	3.57	(3.22)	5.49	(4.35)	20.08
BKKPF	0.31	0.16	0.00	(1.49)	0.00	0.00	0.67	0.00	6.67
BKKLY	1.29	0.12	0.04	0.45	1.62	(1.40)	2.84	(3.71)	8.91
ISDAF	0.14	0.03	0.00	(2.01)	0.00	0.00	0.00	0.00	4.56
BPIRY	2.43	0.06	(0.01)	(0.09)	3.99	(2.28)	4.75	(6.67)	22.26
PTBRY	2.57	0.18	0.02	1.04	3.25	(4.44)	6.83	(7.61)	23.19
BWAGF	1.02	0.49	0.00	(1.21)	0.00	0.00	3.99	0.00	14.57
CRDIY	2.94	0.44	0.08	0.77	3.45	(3.70)	6.54	(6.55)	20.53
BPIRF	0.64	0.12	0.00	20.22	0.00	0.00	3.71	(0.84)	11.44

Bank Related Equities

One of the popular trading techniques among algorithmic traders is to use market-neutral strategies where every trade hedges away some risk. Because there are two separate transactions required, even if one position performs unexpectedly, the other equity can make up some of the losses. Below are some of the equities that can be combined with Bank pink sheet to make a market-neutral strategy. Peer analysis of Bank could also be used in its relative valuation, which is a method of valuing Bank by comparing valuation metrics with similar companies.

Absa Group Ltd Alpha Bank SA Bangkok Bank Public Bangkok Bank PCL Israel Discount Bank Piraeus Bank SA Bank Negara Indonesia BAWAG Group AG Concordia Financial Group Piraeus Financial Holdings American Airlines Group Alcoa Corp Apple Inc Best Buy Co Citigroup

Risk & Return

Correlation

Still Interested in Bank?

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