Correlation Between Bank Negara and Astra Graphia
Can any of the company-specific risk be diversified away by investing in both Bank Negara and Astra Graphia 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 Negara and Astra Graphia into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Bank Negara Indonesia and Astra Graphia Tbk, you can compare the effects of market volatilities on Bank Negara and Astra Graphia 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 Negara with a short position of Astra Graphia. Check out your portfolio center. Please also check ongoing floating volatility patterns of Bank Negara and Astra Graphia.
Diversification Opportunities for Bank Negara and Astra Graphia
0.52 | Correlation Coefficient |
Very weak diversification
The 3 months correlation between Bank and Astra is 0.52. Overlapping area represents the amount of risk that can be diversified away by holding Bank Negara Indonesia and Astra Graphia Tbk in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Astra Graphia Tbk and Bank Negara 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 Negara Indonesia are associated (or correlated) with Astra Graphia. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Astra Graphia Tbk has no effect on the direction of Bank Negara i.e., Bank Negara and Astra Graphia go up and down completely randomly.
Pair Corralation between Bank Negara and Astra Graphia
Assuming the 90 days trading horizon Bank Negara Indonesia is expected to under-perform the Astra Graphia. In addition to that, Bank Negara is 1.68 times more volatile than Astra Graphia Tbk. It trades about -0.03 of its total potential returns per unit of risk. Astra Graphia Tbk is currently generating about 0.0 per unit of volatility. If you would invest 84,785 in Astra Graphia Tbk on November 5, 2024 and sell it today you would lose (785.00) from holding Astra Graphia Tbk or give up 0.93% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
Bank Negara Indonesia vs. Astra Graphia Tbk
Performance |
| Timeline |
| Bank Negara Indonesia |
| Astra Graphia Tbk |
Bank Negara and Astra Graphia Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Bank Negara and Astra Graphia
The main advantage of trading using opposite Bank Negara and Astra Graphia positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Bank Negara position performs unexpectedly, Astra Graphia 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 Astra Graphia will offset losses from the drop in Astra Graphia's long position.| Bank Negara vs. Bank Mandiri Persero | Bank Negara vs. Bank Rakyat Indonesia | Bank Negara vs. Bank Central Asia | Bank Negara vs. Astra International Tbk |
| Astra Graphia vs. Astra Otoparts Tbk | Astra Graphia vs. Citra Marga Nusaphala | Astra Graphia vs. Hexindo Adiperkasa Tbk | Astra Graphia vs. Metrodata Electronics Tbk |
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 Bond Analysis module to evaluate and analyze corporate bonds as a potential investment for your portfolios..
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