Correlation Between Bank Tabungan and Bank Danamon
Can any of the company-specific risk be diversified away by investing in both Bank Tabungan and Bank Danamon 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 Danamon 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 Danamon Indonesia, you can compare the effects of market volatilities on Bank Tabungan and Bank Danamon 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 Danamon. Check out your portfolio center. Please also check ongoing floating volatility patterns of Bank Tabungan and Bank Danamon.
Diversification Opportunities for Bank Tabungan and Bank Danamon
0.79 | Correlation Coefficient |
Poor diversification
The 3 months correlation between Bank and Bank is 0.79. Overlapping area represents the amount of risk that can be diversified away by holding Bank Tabungan Negara and Bank Danamon Indonesia in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Bank Danamon 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 Danamon. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Bank Danamon Indonesia has no effect on the direction of Bank Tabungan i.e., Bank Tabungan and Bank Danamon go up and down completely randomly.
Pair Corralation between Bank Tabungan and Bank Danamon
Assuming the 90 days trading horizon Bank Tabungan Negara is expected to under-perform the Bank Danamon. In addition to that, Bank Tabungan is 2.38 times more volatile than Bank Danamon Indonesia. It trades about -0.31 of its total potential returns per unit of risk. Bank Danamon Indonesia is currently generating about -0.15 per unit of volatility. If you would invest 261,000 in Bank Danamon Indonesia on August 29, 2024 and sell it today you would lose (6,000) from holding Bank Danamon Indonesia or give up 2.3% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Bank Tabungan Negara vs. Bank Danamon Indonesia
Performance |
| Timeline |
| Bank Tabungan Negara |
| Bank Danamon Indonesia |
Bank Tabungan and Bank Danamon Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Bank Tabungan and Bank Danamon
The main advantage of trading using opposite Bank Tabungan and Bank Danamon positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Bank Tabungan position performs unexpectedly, Bank Danamon 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 Danamon will offset losses from the drop in Bank Danamon's long position.| Bank Tabungan vs. Bank Negara Indonesia | Bank Tabungan vs. Bank Mandiri Persero | Bank Tabungan vs. Bank Jabar | Bank Tabungan vs. Jasa Marga Tbk |
| Bank Danamon vs. Bank Cimb Niaga | Bank Danamon vs. Indosat Tbk | Bank Danamon vs. Astra Agro Lestari | Bank Danamon vs. Bank Mandiri Persero |
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 Options Analysis module to analyze and evaluate options and option chains as a potential hedge for your portfolios.
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