Correlation Between Bank Negara and Citra Putra
Can any of the company-specific risk be diversified away by investing in both Bank Negara and Citra Putra 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 Citra Putra 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 Citra Putra Realty, you can compare the effects of market volatilities on Bank Negara and Citra Putra 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 Citra Putra. Check out your portfolio center. Please also check ongoing floating volatility patterns of Bank Negara and Citra Putra.
Diversification Opportunities for Bank Negara and Citra Putra
-0.38 | Correlation Coefficient |
Very good diversification
The 3 months correlation between Bank and Citra is -0.38. Overlapping area represents the amount of risk that can be diversified away by holding Bank Negara Indonesia and Citra Putra Realty in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Citra Putra Realty 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 Citra Putra. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Citra Putra Realty has no effect on the direction of Bank Negara i.e., Bank Negara and Citra Putra go up and down completely randomly.
Pair Corralation between Bank Negara and Citra Putra
Assuming the 90 days trading horizon Bank Negara Indonesia is expected to under-perform the Citra Putra. But the stock apears to be less risky and, when comparing its historical volatility, Bank Negara Indonesia is 2.53 times less risky than Citra Putra. The stock trades about -0.1 of its potential returns per unit of risk. The Citra Putra Realty is currently generating about 0.98 of returns per unit of risk over similar time horizon. If you would invest 11,100 in Citra Putra Realty on September 2, 2024 and sell it today you would earn a total of 15,500 from holding Citra Putra Realty or generate 139.64% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Insignificant |
| Accuracy | 95.24% |
| Values | Daily Returns |
Bank Negara Indonesia vs. Citra Putra Realty
Performance |
| Timeline |
| Bank Negara Indonesia |
| Citra Putra Realty |
Bank Negara and Citra Putra Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Bank Negara and Citra Putra
The main advantage of trading using opposite Bank Negara and Citra Putra positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Bank Negara position performs unexpectedly, Citra Putra 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 Citra Putra will offset losses from the drop in Citra Putra's long position.| Bank Negara vs. Ace Hardware Indonesia | Bank Negara vs. Merdeka Copper Gold | Bank Negara vs. Mitra Pinasthika Mustika | Bank Negara vs. Jakarta Int Hotels |
| Citra Putra vs. Jasa Armada Indonesia | Citra Putra vs. Cahayaputra Asa Keramik | Citra Putra vs. Campina Ice Cream | Citra Putra vs. Integra Indocabinet 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 Stocks Directory module to find actively traded stocks across global markets.
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