Correlation Between Bank Rakyat and Sumber Alfaria
Can any of the company-specific risk be diversified away by investing in both Bank Rakyat and Sumber Alfaria 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 Rakyat and Sumber Alfaria into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Bank Rakyat Indonesia and Sumber Alfaria Trijaya, you can compare the effects of market volatilities on Bank Rakyat and Sumber Alfaria 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 Rakyat with a short position of Sumber Alfaria. Check out your portfolio center. Please also check ongoing floating volatility patterns of Bank Rakyat and Sumber Alfaria.
Diversification Opportunities for Bank Rakyat and Sumber Alfaria
-0.02 | Correlation Coefficient |
Good diversification
The 3 months correlation between Bank and Sumber is -0.02. Overlapping area represents the amount of risk that can be diversified away by holding Bank Rakyat Indonesia and Sumber Alfaria Trijaya in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Sumber Alfaria Trijaya and Bank Rakyat 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 Rakyat Indonesia are associated (or correlated) with Sumber Alfaria. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Sumber Alfaria Trijaya has no effect on the direction of Bank Rakyat i.e., Bank Rakyat and Sumber Alfaria go up and down completely randomly.
Pair Corralation between Bank Rakyat and Sumber Alfaria
Assuming the 90 days trading horizon Bank Rakyat Indonesia is expected to generate 0.75 times more return on investment than Sumber Alfaria. However, Bank Rakyat Indonesia is 1.33 times less risky than Sumber Alfaria. It trades about -0.16 of its potential returns per unit of risk. Sumber Alfaria Trijaya is currently generating about -0.42 per unit of risk. If you would invest 476,000 in Bank Rakyat Indonesia on August 27, 2024 and sell it today you would lose (27,000) from holding Bank Rakyat Indonesia or give up 5.67% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Insignificant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Bank Rakyat Indonesia vs. Sumber Alfaria Trijaya
Performance |
| Timeline |
| Bank Rakyat Indonesia |
| Sumber Alfaria Trijaya |
Bank Rakyat and Sumber Alfaria Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Bank Rakyat and Sumber Alfaria
The main advantage of trading using opposite Bank Rakyat and Sumber Alfaria positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Bank Rakyat position performs unexpectedly, Sumber Alfaria 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 Sumber Alfaria will offset losses from the drop in Sumber Alfaria's long position.| Bank Rakyat vs. Bank Central Asia | Bank Rakyat vs. Bank Mandiri Persero | Bank Rakyat vs. Bank Negara Indonesia | Bank Rakyat vs. Telkom Indonesia Tbk |
| Sumber Alfaria vs. Elang Mahkota Teknologi | Sumber Alfaria vs. Ace Hardware Indonesia | Sumber Alfaria vs. BFI Finance Indonesia | Sumber Alfaria vs. Tower Bersama Infrastructure |
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 ETFs module to find actively traded Exchange Traded Funds (ETF) from around the world.
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