Correlation Between Bank Rakyat and Wahana Pronatural
Can any of the company-specific risk be diversified away by investing in both Bank Rakyat and Wahana Pronatural 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 Wahana Pronatural 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 Wahana Pronatural, you can compare the effects of market volatilities on Bank Rakyat and Wahana Pronatural 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 Wahana Pronatural. Check out your portfolio center. Please also check ongoing floating volatility patterns of Bank Rakyat and Wahana Pronatural.
Diversification Opportunities for Bank Rakyat and Wahana Pronatural
0.75 | Correlation Coefficient |
Poor diversification
The 3 months correlation between Bank and Wahana is 0.75. Overlapping area represents the amount of risk that can be diversified away by holding Bank Rakyat Indonesia and Wahana Pronatural in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Wahana Pronatural 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 Wahana Pronatural. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Wahana Pronatural has no effect on the direction of Bank Rakyat i.e., Bank Rakyat and Wahana Pronatural go up and down completely randomly.
Pair Corralation between Bank Rakyat and Wahana Pronatural
Assuming the 90 days trading horizon Bank Rakyat Indonesia is expected to generate 0.37 times more return on investment than Wahana Pronatural. However, Bank Rakyat Indonesia is 2.71 times less risky than Wahana Pronatural. It trades about 0.0 of its potential returns per unit of risk. Wahana Pronatural is currently generating about -0.03 per unit of risk. If you would invest 443,286 in Bank Rakyat Indonesia on September 3, 2024 and sell it today you would lose (17,286) from holding Bank Rakyat Indonesia or give up 3.9% 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. Wahana Pronatural
Performance |
| Timeline |
| Bank Rakyat Indonesia |
| Wahana Pronatural |
Bank Rakyat and Wahana Pronatural Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Bank Rakyat and Wahana Pronatural
The main advantage of trading using opposite Bank Rakyat and Wahana Pronatural positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Bank Rakyat position performs unexpectedly, Wahana Pronatural 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 Wahana Pronatural will offset losses from the drop in Wahana Pronatural's long position.| Bank Rakyat vs. Paninvest Tbk | Bank Rakyat vs. Mitra Pinasthika Mustika | Bank Rakyat vs. Jakarta Int Hotels | Bank Rakyat vs. Asuransi Harta Aman |
| Wahana Pronatural vs. Wicaksana Overseas International | Wahana Pronatural vs. Millennium Pharmacon International | Wahana Pronatural vs. Tigaraksa Satria Tbk | Wahana Pronatural vs. Tempo Inti Media |
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 Portfolio Volatility module to check portfolio volatility and analyze historical return density to properly model market risk.
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