Correlation Between Bank Negara and Perusahaan Gas
Can any of the company-specific risk be diversified away by investing in both Bank Negara and Perusahaan Gas 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 Perusahaan Gas 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 Perusahaan Gas Negara, you can compare the effects of market volatilities on Bank Negara and Perusahaan Gas 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 Perusahaan Gas. Check out your portfolio center. Please also check ongoing floating volatility patterns of Bank Negara and Perusahaan Gas.
Diversification Opportunities for Bank Negara and Perusahaan Gas
-0.07 | Correlation Coefficient |
Good diversification
The 3 months correlation between Bank and Perusahaan is -0.07. Overlapping area represents the amount of risk that can be diversified away by holding Bank Negara Indonesia and Perusahaan Gas Negara in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Perusahaan Gas Negara 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 Perusahaan Gas. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Perusahaan Gas Negara has no effect on the direction of Bank Negara i.e., Bank Negara and Perusahaan Gas go up and down completely randomly.
Pair Corralation between Bank Negara and Perusahaan Gas
Assuming the 90 days trading horizon Bank Negara Indonesia is expected to under-perform the Perusahaan Gas. But the stock apears to be less risky and, when comparing its historical volatility, Bank Negara Indonesia is 1.15 times less risky than Perusahaan Gas. The stock trades about -0.09 of its potential returns per unit of risk. The Perusahaan Gas Negara is currently generating about 0.06 of returns per unit of risk over similar time horizon. If you would invest 150,500 in Perusahaan Gas Negara on August 31, 2024 and sell it today you would earn a total of 3,500 from holding Perusahaan Gas Negara or generate 2.33% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Insignificant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Bank Negara Indonesia vs. Perusahaan Gas Negara
Performance |
| Timeline |
| Bank Negara Indonesia |
| Perusahaan Gas Negara |
Bank Negara and Perusahaan Gas Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Bank Negara and Perusahaan Gas
The main advantage of trading using opposite Bank Negara and Perusahaan Gas positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Bank Negara position performs unexpectedly, Perusahaan Gas 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 Perusahaan Gas will offset losses from the drop in Perusahaan Gas' long position.| Bank Negara vs. Bank BRISyariah Tbk | Bank Negara vs. Ace Hardware Indonesia | Bank Negara vs. Merdeka Copper Gold | Bank Negara vs. Mitra Pinasthika Mustika |
| Perusahaan Gas vs. Aneka Tambang Persero | Perusahaan Gas vs. Bukit Asam Tbk | Perusahaan Gas vs. Telkom Indonesia Tbk | Perusahaan Gas vs. Astra International 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 Fundamentals Comparison module to compare fundamentals across multiple equities to find investing opportunities.
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