Correlation Between Bank Rakyat and Pertamina Geothermal
Can any of the company-specific risk be diversified away by investing in both Bank Rakyat and Pertamina Geothermal 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 Pertamina Geothermal 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 Pertamina Geothermal Energy, you can compare the effects of market volatilities on Bank Rakyat and Pertamina Geothermal 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 Pertamina Geothermal. Check out your portfolio center. Please also check ongoing floating volatility patterns of Bank Rakyat and Pertamina Geothermal.
Diversification Opportunities for Bank Rakyat and Pertamina Geothermal
0.65 | Correlation Coefficient |
Poor diversification
The 3 months correlation between Bank and Pertamina is 0.65. Overlapping area represents the amount of risk that can be diversified away by holding Bank Rakyat Indonesia and Pertamina Geothermal Energy in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Pertamina Geothermal 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 Pertamina Geothermal. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Pertamina Geothermal has no effect on the direction of Bank Rakyat i.e., Bank Rakyat and Pertamina Geothermal go up and down completely randomly.
Pair Corralation between Bank Rakyat and Pertamina Geothermal
Assuming the 90 days trading horizon Bank Rakyat Indonesia is expected to under-perform the Pertamina Geothermal. But the stock apears to be less risky and, when comparing its historical volatility, Bank Rakyat Indonesia is 1.37 times less risky than Pertamina Geothermal. The stock trades about -0.05 of its potential returns per unit of risk. The Pertamina Geothermal Energy is currently generating about -0.02 of returns per unit of risk over similar time horizon. If you would invest 100,500 in Pertamina Geothermal Energy on November 27, 2024 and sell it today you would lose (6,500) from holding Pertamina Geothermal Energy or give up 6.47% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Bank Rakyat Indonesia vs. Pertamina Geothermal Energy
Performance |
| Timeline |
| Bank Rakyat Indonesia |
| Pertamina Geothermal |
Bank Rakyat and Pertamina Geothermal Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Bank Rakyat and Pertamina Geothermal
The main advantage of trading using opposite Bank Rakyat and Pertamina Geothermal positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Bank Rakyat position performs unexpectedly, Pertamina Geothermal 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 Pertamina Geothermal will offset losses from the drop in Pertamina Geothermal'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 |
| Pertamina Geothermal vs. City Retail Developments | Pertamina Geothermal vs. Humpuss Intermoda Transportasi | Pertamina Geothermal vs. Protech Mitra Perkasa | Pertamina Geothermal vs. Global Mediacom 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 Competition Analyzer module to analyze and compare many basic indicators for a group of related or unrelated entities.
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