Correlation Between Bank Negara and Triputra Agro
Can any of the company-specific risk be diversified away by investing in both Bank Negara and Triputra Agro 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 Triputra Agro 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 Triputra Agro Persada, you can compare the effects of market volatilities on Bank Negara and Triputra Agro 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 Triputra Agro. Check out your portfolio center. Please also check ongoing floating volatility patterns of Bank Negara and Triputra Agro.
Diversification Opportunities for Bank Negara and Triputra Agro
-0.3 | Correlation Coefficient |
Very good diversification
The 3 months correlation between Bank and Triputra is -0.3. Overlapping area represents the amount of risk that can be diversified away by holding Bank Negara Indonesia and Triputra Agro Persada in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Triputra Agro Persada 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 Triputra Agro. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Triputra Agro Persada has no effect on the direction of Bank Negara i.e., Bank Negara and Triputra Agro go up and down completely randomly.
Pair Corralation between Bank Negara and Triputra Agro
Assuming the 90 days trading horizon Bank Negara Indonesia is expected to under-perform the Triputra Agro. But the stock apears to be less risky and, when comparing its historical volatility, Bank Negara Indonesia is 1.29 times less risky than Triputra Agro. The stock trades about -0.24 of its potential returns per unit of risk. The Triputra Agro Persada is currently generating about -0.09 of returns per unit of risk over similar time horizon. If you would invest 81,494 in Triputra Agro Persada on August 29, 2024 and sell it today you would lose (4,494) from holding Triputra Agro Persada or give up 5.51% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Insignificant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Bank Negara Indonesia vs. Triputra Agro Persada
Performance |
| Timeline |
| Bank Negara Indonesia |
| Triputra Agro Persada |
Bank Negara and Triputra Agro Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Bank Negara and Triputra Agro
The main advantage of trading using opposite Bank Negara and Triputra Agro positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Bank Negara position performs unexpectedly, Triputra Agro 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 Triputra Agro will offset losses from the drop in Triputra Agro'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 |
| Triputra Agro vs. Dharma Satya Nusantara | Triputra Agro vs. Saratoga Investama Sedaya | Triputra Agro vs. Surya Esa Perkasa | Triputra Agro vs. Elang Mahkota Teknologi |
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 Analyst Advice module to analyst recommendations and target price estimates broken down by several categories.
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