Correlation Between Aneka Tambang and Bumi Resources
Can any of the company-specific risk be diversified away by investing in both Aneka Tambang and Bumi Resources 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 Aneka Tambang and Bumi Resources into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Aneka Tambang Persero and Bumi Resources Minerals, you can compare the effects of market volatilities on Aneka Tambang and Bumi Resources 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 Aneka Tambang with a short position of Bumi Resources. Check out your portfolio center. Please also check ongoing floating volatility patterns of Aneka Tambang and Bumi Resources.
Diversification Opportunities for Aneka Tambang and Bumi Resources
0.61 | Correlation Coefficient |
Poor diversification
The 3 months correlation between Aneka and Bumi is 0.61. Overlapping area represents the amount of risk that can be diversified away by holding Aneka Tambang Persero and Bumi Resources Minerals in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Bumi Resources Minerals and Aneka Tambang 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 Aneka Tambang Persero are associated (or correlated) with Bumi Resources. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Bumi Resources Minerals has no effect on the direction of Aneka Tambang i.e., Aneka Tambang and Bumi Resources go up and down completely randomly.
Pair Corralation between Aneka Tambang and Bumi Resources
Assuming the 90 days trading horizon Aneka Tambang Persero is expected to under-perform the Bumi Resources. But the stock apears to be less risky and, when comparing its historical volatility, Aneka Tambang Persero is 2.2 times less risky than Bumi Resources. The stock trades about -0.15 of its potential returns per unit of risk. The Bumi Resources Minerals is currently generating about 0.09 of returns per unit of risk over similar time horizon. If you would invest 37,400 in Bumi Resources Minerals on August 29, 2024 and sell it today you would earn a total of 3,600 from holding Bumi Resources Minerals or generate 9.63% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Aneka Tambang Persero vs. Bumi Resources Minerals
Performance |
| Timeline |
| Aneka Tambang Persero |
| Bumi Resources Minerals |
Aneka Tambang and Bumi Resources Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Aneka Tambang and Bumi Resources
The main advantage of trading using opposite Aneka Tambang and Bumi Resources positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Aneka Tambang position performs unexpectedly, Bumi Resources 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 Bumi Resources will offset losses from the drop in Bumi Resources' long position.| Aneka Tambang vs. Perusahaan Gas Negara | Aneka Tambang vs. Vale Indonesia Tbk | Aneka Tambang vs. Bukit Asam Tbk | Aneka Tambang vs. Telkom Indonesia Tbk |
| Bumi Resources vs. Energi Mega Persada | Bumi Resources vs. Harum Energy Tbk | Bumi Resources vs. Delta Dunia Makmur | Bumi Resources vs. Benakat Petroleum Energy |
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 Price Exposure Probability module to analyze equity upside and downside potential for a given time horizon across multiple markets.
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