Correlation Between Bank Danamon and Bank Pembangunan
Can any of the company-specific risk be diversified away by investing in both Bank Danamon and Bank Pembangunan 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 Danamon and Bank Pembangunan into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Bank Danamon Indonesia and Bank Pembangunan Timur, you can compare the effects of market volatilities on Bank Danamon and Bank Pembangunan 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 Danamon with a short position of Bank Pembangunan. Check out your portfolio center. Please also check ongoing floating volatility patterns of Bank Danamon and Bank Pembangunan.
Diversification Opportunities for Bank Danamon and Bank Pembangunan
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 Danamon Indonesia and Bank Pembangunan Timur in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Bank Pembangunan Timur and Bank Danamon 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 Danamon Indonesia are associated (or correlated) with Bank Pembangunan. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Bank Pembangunan Timur has no effect on the direction of Bank Danamon i.e., Bank Danamon and Bank Pembangunan go up and down completely randomly.
Pair Corralation between Bank Danamon and Bank Pembangunan
Assuming the 90 days trading horizon Bank Danamon Indonesia is expected to generate 0.9 times more return on investment than Bank Pembangunan. However, Bank Danamon Indonesia is 1.11 times less risky than Bank Pembangunan. It trades about -0.2 of its potential returns per unit of risk. Bank Pembangunan Timur is currently generating about -0.22 per unit of risk. If you would invest 267,000 in Bank Danamon Indonesia on August 25, 2024 and sell it today you would lose (15,000) from holding Bank Danamon Indonesia or give up 5.62% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
Bank Danamon Indonesia vs. Bank Pembangunan Timur
Performance |
| Timeline |
| Bank Danamon Indonesia |
| Bank Pembangunan Timur |
Bank Danamon and Bank Pembangunan Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Bank Danamon and Bank Pembangunan
The main advantage of trading using opposite Bank Danamon and Bank Pembangunan positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Bank Danamon position performs unexpectedly, Bank Pembangunan 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 Pembangunan will offset losses from the drop in Bank Pembangunan's long position.| Bank Danamon vs. Bank Cimb Niaga | Bank Danamon vs. Indosat Tbk | Bank Danamon vs. Astra Agro Lestari | Bank Danamon vs. Bank Mandiri Persero |
| Bank Pembangunan vs. Bank Jabar | Bank Pembangunan vs. Sido Muncul PT | Bank Pembangunan vs. Bank Negara Indonesia | Bank Pembangunan vs. Bank Tabungan Negara |
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 Balance Of Power module to check stock momentum by analyzing Balance Of Power indicator and other technical ratios.
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