Correlation Between Sumber Alfaria and Bank BRISyariah
Can any of the company-specific risk be diversified away by investing in both Sumber Alfaria and Bank BRISyariah 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 Sumber Alfaria and Bank BRISyariah into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Sumber Alfaria Trijaya and Bank BRISyariah Tbk, you can compare the effects of market volatilities on Sumber Alfaria and Bank BRISyariah 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 Sumber Alfaria with a short position of Bank BRISyariah. Check out your portfolio center. Please also check ongoing floating volatility patterns of Sumber Alfaria and Bank BRISyariah.
Diversification Opportunities for Sumber Alfaria and Bank BRISyariah
0.68 | Correlation Coefficient |
Poor diversification
The 3 months correlation between Sumber and Bank is 0.68. Overlapping area represents the amount of risk that can be diversified away by holding Sumber Alfaria Trijaya and Bank BRISyariah Tbk in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Bank BRISyariah Tbk and Sumber Alfaria 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 Sumber Alfaria Trijaya are associated (or correlated) with Bank BRISyariah. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Bank BRISyariah Tbk has no effect on the direction of Sumber Alfaria i.e., Sumber Alfaria and Bank BRISyariah go up and down completely randomly.
Pair Corralation between Sumber Alfaria and Bank BRISyariah
Assuming the 90 days trading horizon Sumber Alfaria Trijaya is expected to under-perform the Bank BRISyariah. But the stock apears to be less risky and, when comparing its historical volatility, Sumber Alfaria Trijaya is 1.17 times less risky than Bank BRISyariah. The stock trades about -0.27 of its potential returns per unit of risk. The Bank BRISyariah Tbk is currently generating about -0.02 of returns per unit of risk over similar time horizon. If you would invest 295,000 in Bank BRISyariah Tbk on September 2, 2024 and sell it today you would lose (5,000) from holding Bank BRISyariah Tbk or give up 1.69% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Sumber Alfaria Trijaya vs. Bank BRISyariah Tbk
Performance |
| Timeline |
| Sumber Alfaria Trijaya |
| Bank BRISyariah Tbk |
Sumber Alfaria and Bank BRISyariah Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Sumber Alfaria and Bank BRISyariah
The main advantage of trading using opposite Sumber Alfaria and Bank BRISyariah positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Sumber Alfaria position performs unexpectedly, Bank BRISyariah 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 BRISyariah will offset losses from the drop in Bank BRISyariah's long position.| Sumber Alfaria vs. Elang Mahkota Teknologi | Sumber Alfaria vs. Ace Hardware Indonesia | Sumber Alfaria vs. BFI Finance Indonesia | Sumber Alfaria vs. Tower Bersama Infrastructure |
| Bank BRISyariah vs. Ace Hardware Indonesia | Bank BRISyariah vs. Merdeka Copper Gold | Bank BRISyariah vs. Mitra Pinasthika Mustika | Bank BRISyariah vs. Jakarta Int Hotels |
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 Portfolio File Import module to quickly import all of your third-party portfolios from your local drive in csv format.
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