Correlation Between Bank Yudha and Bank Maspion
Can any of the company-specific risk be diversified away by investing in both Bank Yudha and Bank Maspion 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 Yudha and Bank Maspion into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Bank Yudha Bhakti and Bank Maspion Indonesia, you can compare the effects of market volatilities on Bank Yudha and Bank Maspion 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 Yudha with a short position of Bank Maspion. Check out your portfolio center. Please also check ongoing floating volatility patterns of Bank Yudha and Bank Maspion.
Diversification Opportunities for Bank Yudha and Bank Maspion
-0.26 | Correlation Coefficient |
Very good diversification
The 3 months correlation between Bank and Bank is -0.26. Overlapping area represents the amount of risk that can be diversified away by holding Bank Yudha Bhakti and Bank Maspion Indonesia in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Bank Maspion Indonesia and Bank Yudha 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 Yudha Bhakti are associated (or correlated) with Bank Maspion. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Bank Maspion Indonesia has no effect on the direction of Bank Yudha i.e., Bank Yudha and Bank Maspion go up and down completely randomly.
Pair Corralation between Bank Yudha and Bank Maspion
Assuming the 90 days trading horizon Bank Yudha Bhakti is expected to under-perform the Bank Maspion. In addition to that, Bank Yudha is 1.02 times more volatile than Bank Maspion Indonesia. It trades about -0.02 of its total potential returns per unit of risk. Bank Maspion Indonesia is currently generating about -0.02 per unit of volatility. If you would invest 118,000 in Bank Maspion Indonesia on August 29, 2024 and sell it today you would lose (58,000) from holding Bank Maspion Indonesia or give up 49.15% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Insignificant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Bank Yudha Bhakti vs. Bank Maspion Indonesia
Performance |
| Timeline |
| Bank Yudha Bhakti |
| Bank Maspion Indonesia |
Bank Yudha and Bank Maspion Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Bank Yudha and Bank Maspion
The main advantage of trading using opposite Bank Yudha and Bank Maspion positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Bank Yudha position performs unexpectedly, Bank Maspion 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 Maspion will offset losses from the drop in Bank Maspion's long position.| Bank Yudha vs. Bank Artos Indonesia | Bank Yudha vs. Bk Harda Internasional | Bank Yudha vs. Bank Rakyat Indonesia | Bank Yudha vs. Bank Mnc Internasional |
| Bank Maspion vs. Bank Mestika Dharma | Bank Maspion vs. Bank Sinarmas Tbk | Bank Maspion vs. Bank Ina Perdana | Bank Maspion vs. Bank Qnb Indonesia |
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 Efficient Frontier module to plot and analyze your portfolio and positions against risk-return landscape of the market..
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