Correlation Between Bank Negara and Mitra Adiperkasa
Can any of the company-specific risk be diversified away by investing in both Bank Negara and Mitra Adiperkasa 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 Mitra Adiperkasa 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 Mitra Adiperkasa Tbk, you can compare the effects of market volatilities on Bank Negara and Mitra Adiperkasa 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 Mitra Adiperkasa. Check out your portfolio center. Please also check ongoing floating volatility patterns of Bank Negara and Mitra Adiperkasa.
Diversification Opportunities for Bank Negara and Mitra Adiperkasa
0.7 | Correlation Coefficient |
Poor diversification
The 3 months correlation between Bank and Mitra is 0.7. Overlapping area represents the amount of risk that can be diversified away by holding Bank Negara Indonesia and Mitra Adiperkasa Tbk in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Mitra Adiperkasa 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 Mitra Adiperkasa. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Mitra Adiperkasa Tbk has no effect on the direction of Bank Negara i.e., Bank Negara and Mitra Adiperkasa go up and down completely randomly.
Pair Corralation between Bank Negara and Mitra Adiperkasa
Assuming the 90 days trading horizon Bank Negara Indonesia is expected to under-perform the Mitra Adiperkasa. But the stock apears to be less risky and, when comparing its historical volatility, Bank Negara Indonesia is 1.94 times less risky than Mitra Adiperkasa. The stock trades about -0.13 of its potential returns per unit of risk. The Mitra Adiperkasa Tbk is currently generating about 0.01 of returns per unit of risk over similar time horizon. If you would invest 158,000 in Mitra Adiperkasa Tbk on September 1, 2024 and sell it today you would lose (500.00) from holding Mitra Adiperkasa Tbk or give up 0.32% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Bank Negara Indonesia vs. Mitra Adiperkasa Tbk
Performance |
| Timeline |
| Bank Negara Indonesia |
| Mitra Adiperkasa Tbk |
Bank Negara and Mitra Adiperkasa Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Bank Negara and Mitra Adiperkasa
The main advantage of trading using opposite Bank Negara and Mitra Adiperkasa positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Bank Negara position performs unexpectedly, Mitra Adiperkasa 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 Mitra Adiperkasa will offset losses from the drop in Mitra Adiperkasa'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 |
| Mitra Adiperkasa vs. Japfa Comfeed Indonesia | Mitra Adiperkasa vs. Charoen Pokphand Indonesia | Mitra Adiperkasa vs. Erajaya Swasembada Tbk | Mitra Adiperkasa vs. Indofood Cbp Sukses |
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 Companies Directory module to evaluate performance of over 100,000 Stocks, Funds, and ETFs against different fundamentals.
Other Complementary Tools
| Idea Optimizer Use advanced portfolio builder with pre-computed micro ideas to build optimal portfolio | |
| Equity Forecasting Use basic forecasting models to generate price predictions and determine price momentum | |
| Pattern Recognition Use different Pattern Recognition models to time the market across multiple global exchanges | |
| Competition Analyzer Analyze and compare many basic indicators for a group of related or unrelated entities | |
| Bollinger Bands Use Bollinger Bands indicator to analyze target price for a given investing horizon |