Correlation Between Bank Rakyat and Astra International
Can any of the company-specific risk be diversified away by investing in both Bank Rakyat and Astra International 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 Astra International 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 Astra International Tbk, you can compare the effects of market volatilities on Bank Rakyat and Astra International 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 Astra International. Check out your portfolio center. Please also check ongoing floating volatility patterns of Bank Rakyat and Astra International.
Diversification Opportunities for Bank Rakyat and Astra International
0.48 | Correlation Coefficient |
Very weak diversification
The 3 months correlation between Bank and Astra is 0.48. Overlapping area represents the amount of risk that can be diversified away by holding Bank Rakyat Indonesia and Astra International Tbk in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Astra International Tbk 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 Astra International. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Astra International Tbk has no effect on the direction of Bank Rakyat i.e., Bank Rakyat and Astra International go up and down completely randomly.
Pair Corralation between Bank Rakyat and Astra International
Assuming the 90 days trading horizon Bank Rakyat Indonesia is expected to generate 1.39 times more return on investment than Astra International. However, Bank Rakyat is 1.39 times more volatile than Astra International Tbk. It trades about -0.14 of its potential returns per unit of risk. Astra International Tbk is currently generating about -0.19 per unit of risk. If you would invest 409,000 in Bank Rakyat Indonesia on November 18, 2024 and sell it today you would lose (21,000) from holding Bank Rakyat Indonesia or give up 5.13% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
Bank Rakyat Indonesia vs. Astra International Tbk
Performance |
| Timeline |
| Bank Rakyat Indonesia |
| Astra International Tbk |
Bank Rakyat and Astra International Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Bank Rakyat and Astra International
The main advantage of trading using opposite Bank Rakyat and Astra International positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Bank Rakyat position performs unexpectedly, Astra International 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 Astra International will offset losses from the drop in Astra International'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 |
| Astra International vs. Telkom Indonesia Tbk | Astra International vs. Bank Mandiri Persero | Astra International vs. Bank Central Asia | Astra International vs. PT Indofood Sukses |
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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