Correlation Between Bank Negara and Samudera Indonesia
Can any of the company-specific risk be diversified away by investing in both Bank Negara and Samudera Indonesia 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 Samudera Indonesia 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 Samudera Indonesia Tbk, you can compare the effects of market volatilities on Bank Negara and Samudera Indonesia 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 Samudera Indonesia. Check out your portfolio center. Please also check ongoing floating volatility patterns of Bank Negara and Samudera Indonesia.
Diversification Opportunities for Bank Negara and Samudera Indonesia
0.9 | Correlation Coefficient |
Almost no diversification
The 3 months correlation between Bank and Samudera is 0.9. Overlapping area represents the amount of risk that can be diversified away by holding Bank Negara Indonesia and Samudera Indonesia Tbk in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Samudera Indonesia 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 Samudera Indonesia. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Samudera Indonesia Tbk has no effect on the direction of Bank Negara i.e., Bank Negara and Samudera Indonesia go up and down completely randomly.
Pair Corralation between Bank Negara and Samudera Indonesia
Assuming the 90 days trading horizon Bank Negara Indonesia is expected to generate 1.36 times more return on investment than Samudera Indonesia. However, Bank Negara is 1.36 times more volatile than Samudera Indonesia Tbk. It trades about -0.06 of its potential returns per unit of risk. Samudera Indonesia Tbk is currently generating about -0.2 per unit of risk. If you would invest 537,500 in Bank Negara Indonesia on November 2, 2024 and sell it today you would lose (75,500) from holding Bank Negara Indonesia or give up 14.05% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
Bank Negara Indonesia vs. Samudera Indonesia Tbk
Performance |
| Timeline |
| Bank Negara Indonesia |
| Samudera Indonesia Tbk |
Bank Negara and Samudera Indonesia Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Bank Negara and Samudera Indonesia
The main advantage of trading using opposite Bank Negara and Samudera Indonesia positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Bank Negara position performs unexpectedly, Samudera Indonesia 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 Samudera Indonesia will offset losses from the drop in Samudera Indonesia'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 |
| Samudera Indonesia vs. PT Temas Tbk | Samudera Indonesia vs. Petrosea Tbk | Samudera Indonesia vs. Rig Tenders Tbk | Samudera Indonesia vs. Rukun Raharja 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 Companies Directory module to evaluate performance of over 100,000 Stocks, Funds, and ETFs against different fundamentals.
Other Complementary Tools
| Portfolio Backtesting Avoid under-diversification and over-optimization by backtesting your portfolios | |
| Performance Analysis Check effects of mean-variance optimization against your current asset allocation | |
| Idea Optimizer Use advanced portfolio builder with pre-computed micro ideas to build optimal portfolio | |
| Money Managers Screen money managers from public funds and ETFs managed around the world | |
| Stock Screener Find equities using a custom stock filter or screen asymmetry in trading patterns, price, volume, or investment outlook. |