Correlation Between Bank Negara and Superkrane Mitra
Can any of the company-specific risk be diversified away by investing in both Bank Negara and Superkrane Mitra 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 Superkrane Mitra 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 Superkrane Mitra Utama, you can compare the effects of market volatilities on Bank Negara and Superkrane Mitra 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 Superkrane Mitra. Check out your portfolio center. Please also check ongoing floating volatility patterns of Bank Negara and Superkrane Mitra.
Diversification Opportunities for Bank Negara and Superkrane Mitra
-0.72 | Correlation Coefficient |
Pay attention - limited upside
The 3 months correlation between Bank and Superkrane is -0.72. Overlapping area represents the amount of risk that can be diversified away by holding Bank Negara Indonesia and Superkrane Mitra Utama in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Superkrane Mitra Utama 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 Superkrane Mitra. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Superkrane Mitra Utama has no effect on the direction of Bank Negara i.e., Bank Negara and Superkrane Mitra go up and down completely randomly.
Pair Corralation between Bank Negara and Superkrane Mitra
Assuming the 90 days trading horizon Bank Negara Indonesia is expected to under-perform the Superkrane Mitra. But the stock apears to be less risky and, when comparing its historical volatility, Bank Negara Indonesia is 2.25 times less risky than Superkrane Mitra. The stock trades about -0.06 of its potential returns per unit of risk. The Superkrane Mitra Utama is currently generating about 0.1 of returns per unit of risk over similar time horizon. If you would invest 29,932 in Superkrane Mitra Utama on September 2, 2024 and sell it today you would earn a total of 6,668 from holding Superkrane Mitra Utama or generate 22.28% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
Bank Negara Indonesia vs. Superkrane Mitra Utama
Performance |
| Timeline |
| Bank Negara Indonesia |
| Superkrane Mitra Utama |
Bank Negara and Superkrane Mitra Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Bank Negara and Superkrane Mitra
The main advantage of trading using opposite Bank Negara and Superkrane Mitra positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Bank Negara position performs unexpectedly, Superkrane Mitra 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 Superkrane Mitra will offset losses from the drop in Superkrane Mitra'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 |
| Superkrane Mitra vs. Garudafood Putra Putri | Superkrane Mitra vs. PT Surya Pertiwi | Superkrane Mitra vs. MD Pictures Tbk | Superkrane Mitra vs. PT Mulia Industrindo |
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 Idea Analyzer module to analyze all characteristics, volatility and risk-adjusted return of Macroaxis ideas.
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