Correlation Between Bank Tabungan and Bank Rakyat
Can any of the company-specific risk be diversified away by investing in both Bank Tabungan and Bank Rakyat 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 Tabungan and Bank Rakyat into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Bank Tabungan Negara and Bank Rakyat Indonesia, you can compare the effects of market volatilities on Bank Tabungan and Bank Rakyat 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 Tabungan with a short position of Bank Rakyat. Check out your portfolio center. Please also check ongoing floating volatility patterns of Bank Tabungan and Bank Rakyat.
Diversification Opportunities for Bank Tabungan and Bank Rakyat
0.9 | Correlation Coefficient |
Almost no diversification
The 3 months correlation between Bank and Bank is 0.9. Overlapping area represents the amount of risk that can be diversified away by holding Bank Tabungan Negara and Bank Rakyat Indonesia in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Bank Rakyat Indonesia and Bank Tabungan 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 Tabungan Negara are associated (or correlated) with Bank Rakyat. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Bank Rakyat Indonesia has no effect on the direction of Bank Tabungan i.e., Bank Tabungan and Bank Rakyat go up and down completely randomly.
Pair Corralation between Bank Tabungan and Bank Rakyat
Assuming the 90 days trading horizon Bank Tabungan Negara is expected to generate 0.63 times more return on investment than Bank Rakyat. However, Bank Tabungan Negara is 1.58 times less risky than Bank Rakyat. It trades about -0.26 of its potential returns per unit of risk. Bank Rakyat Indonesia is currently generating about -0.26 per unit of risk. If you would invest 140,500 in Bank Tabungan Negara on September 1, 2024 and sell it today you would lose (12,000) from holding Bank Tabungan Negara or give up 8.54% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
Bank Tabungan Negara vs. Bank Rakyat Indonesia
Performance |
| Timeline |
| Bank Tabungan Negara |
| Bank Rakyat Indonesia |
Bank Tabungan and Bank Rakyat Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Bank Tabungan and Bank Rakyat
The main advantage of trading using opposite Bank Tabungan and Bank Rakyat positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Bank Tabungan position performs unexpectedly, Bank Rakyat 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 Bank Rakyat will offset losses from the drop in Bank Rakyat's long position.| Bank Tabungan vs. Bank BRISyariah Tbk | Bank Tabungan vs. Ace Hardware Indonesia | Bank Tabungan vs. Merdeka Copper Gold | Bank Tabungan vs. Mitra Pinasthika Mustika |
| Bank Rakyat vs. Bank BRISyariah Tbk | Bank Rakyat vs. Ace Hardware Indonesia | Bank Rakyat vs. Merdeka Copper Gold | Bank Rakyat vs. Mitra Pinasthika Mustika |
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 Crypto Correlations module to use cryptocurrency correlation module to diversify your cryptocurrency portfolio across multiple coins.
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