Correlation Between Bank Negara and Supra Boga
Can any of the company-specific risk be diversified away by investing in both Bank Negara and Supra Boga 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 Supra Boga 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 Supra Boga Lestari, you can compare the effects of market volatilities on Bank Negara and Supra Boga 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 Supra Boga. Check out your portfolio center. Please also check ongoing floating volatility patterns of Bank Negara and Supra Boga.
Diversification Opportunities for Bank Negara and Supra Boga
0.79 | Correlation Coefficient |
Poor diversification
The 3 months correlation between Bank and Supra is 0.79. Overlapping area represents the amount of risk that can be diversified away by holding Bank Negara Indonesia and Supra Boga Lestari in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Supra Boga Lestari 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 Supra Boga. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Supra Boga Lestari has no effect on the direction of Bank Negara i.e., Bank Negara and Supra Boga go up and down completely randomly.
Pair Corralation between Bank Negara and Supra Boga
Assuming the 90 days trading horizon Bank Negara Indonesia is expected to generate 1.06 times more return on investment than Supra Boga. However, Bank Negara is 1.06 times more volatile than Supra Boga Lestari. It trades about -0.09 of its potential returns per unit of risk. Supra Boga Lestari is currently generating about -0.11 per unit of risk. If you would invest 522,500 in Bank Negara Indonesia on August 31, 2024 and sell it today you would lose (20,000) from holding Bank Negara Indonesia or give up 3.83% 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. Supra Boga Lestari
Performance |
| Timeline |
| Bank Negara Indonesia |
| Supra Boga Lestari |
Bank Negara and Supra Boga Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Bank Negara and Supra Boga
The main advantage of trading using opposite Bank Negara and Supra Boga positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Bank Negara position performs unexpectedly, Supra Boga 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 Supra Boga will offset losses from the drop in Supra Boga's 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 |
| Supra Boga vs. Nippon Indosari Corpindo | Supra Boga vs. Ramayana Lestari Sentosa | Supra Boga vs. Midi Utama Indonesia | Supra Boga vs. Hero Supermarket 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 Competition Analyzer module to analyze and compare many basic indicators for a group of related or unrelated entities.
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