Correlation Between Bank Amar and Bank Net
Can any of the company-specific risk be diversified away by investing in both Bank Amar and Bank Net 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 Bank Amar and Bank Net into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Bank Amar Indonesia and Bank Net Indonesia, you can compare the effects of market volatilities on Bank Amar and Bank Net 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 Bank Amar with a short position of Bank Net. Check out your portfolio center. Please also check ongoing floating volatility patterns of Bank Amar and Bank Net.
Diversification Opportunities for Bank Amar and Bank Net
Poor diversification
The 3 months correlation between Bank and Bank is 0.62. Overlapping area represents the amount of risk that can be diversified away by holding Bank Amar Indonesia and Bank Net Indonesia in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Bank Net Indonesia and Bank Amar 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 Bank Amar Indonesia are associated (or correlated) with Bank Net. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Bank Net Indonesia has no effect on the direction of Bank Amar i.e., Bank Amar and Bank Net go up and down completely randomly.
Pair Corralation between Bank Amar and Bank Net
Assuming the 90 days trading horizon Bank Amar Indonesia is expected to under-perform the Bank Net. But the stock apears to be less risky and, when comparing its historical volatility, Bank Amar Indonesia is 1.25 times less risky than Bank Net. The stock trades about -0.08 of its potential returns per unit of risk. The Bank Net Indonesia is currently generating about -0.05 of returns per unit of risk over similar time horizon. If you would invest 98,000 in Bank Net Indonesia on September 1, 2024 and sell it today you would lose (17,000) from holding Bank Net Indonesia or give up 17.35% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 99.44% |
| Values | Daily Returns |
Bank Amar Indonesia vs. Bank Net Indonesia
Performance |
| Timeline |
| Bank Amar Indonesia |
| Bank Net Indonesia |
Bank Amar and Bank Net Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Bank Amar and Bank Net
The main advantage of trading using opposite Bank Amar and Bank Net positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Bank Amar position performs unexpectedly, Bank Net 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 Bank Net will offset losses from the drop in Bank Net's long position.| Bank Amar vs. Bank Yudha Bhakti | Bank Amar vs. Bk Harda Internasional | Bank Amar vs. Bank Ganesha Tbk | Bank Amar vs. Bank Capital Indonesia |
| Bank Net vs. Bank Artos Indonesia | Bank Net vs. Bank Yudha Bhakti | Bank Net vs. Bk Harda Internasional | Bank Net vs. Bank Rakyat Indonesia |
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 Volatility Analysis module to get historical volatility and risk analysis based on latest market data.
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