Correlation Between Bank Net and PT Bank
Can any of the company-specific risk be diversified away by investing in both Bank Net and PT Bank 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 Net and PT Bank into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Bank Net Indonesia and PT Bank Bisnis, you can compare the effects of market volatilities on Bank Net and PT Bank 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 Net with a short position of PT Bank. Check out your portfolio center. Please also check ongoing floating volatility patterns of Bank Net and PT Bank.
Diversification Opportunities for Bank Net and PT Bank
Very weak diversification
The 3 months correlation between Bank and BBSI is 0.43. Overlapping area represents the amount of risk that can be diversified away by holding Bank Net Indonesia and PT Bank Bisnis in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on PT Bank Bisnis and Bank Net 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 Net Indonesia are associated (or correlated) with PT Bank. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of PT Bank Bisnis has no effect on the direction of Bank Net i.e., Bank Net and PT Bank go up and down completely randomly.
Pair Corralation between Bank Net and PT Bank
Assuming the 90 days trading horizon Bank Net Indonesia is expected to under-perform the PT Bank. In addition to that, Bank Net is 1.6 times more volatile than PT Bank Bisnis. It trades about -0.07 of its total potential returns per unit of risk. PT Bank Bisnis is currently generating about -0.01 per unit of volatility. If you would invest 425,000 in PT Bank Bisnis on August 29, 2024 and sell it today you would lose (3,000) from holding PT Bank Bisnis or give up 0.71% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Weak |
| Accuracy | 95.65% |
| Values | Daily Returns |
Bank Net Indonesia vs. PT Bank Bisnis
Performance |
| Timeline |
| Bank Net Indonesia |
| PT Bank Bisnis |
Bank Net and PT Bank Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Bank Net and PT Bank
The main advantage of trading using opposite Bank Net and PT Bank positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Bank Net position performs unexpectedly, PT Bank 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 PT Bank will offset losses from the drop in PT Bank's long position.| Bank Net vs. Bank Artos Indonesia | Bank Net vs. Bank Yudha Bhakti | Bank Net vs. Bk Harda Internasional | Bank Net vs. Bank Rakyat Indonesia |
| PT Bank vs. Bk Harda Internasional | PT Bank vs. Bank Yudha Bhakti | PT Bank vs. Bank Net Indonesia | PT Bank vs. Bank Amar 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 Insider Screener module to find insiders across different sectors to evaluate their impact on performance.
Other Complementary Tools
| Efficient Frontier Plot and analyze your portfolio and positions against risk-return landscape of the market. | |
| Stock Screener Find equities using a custom stock filter or screen asymmetry in trading patterns, price, volume, or investment outlook. | |
| Volatility Analysis Get historical volatility and risk analysis based on latest market data | |
| Theme Ratings Determine theme ratings based on digital equity recommendations. Macroaxis theme ratings are based on combination of fundamental analysis and risk-adjusted market performance | |
| Correlation Analysis Reduce portfolio risk simply by holding instruments which are not perfectly correlated |