Correlation Between PT Bank and Heineken
Can any of the company-specific risk be diversified away by investing in both PT Bank and Heineken 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 PT Bank and Heineken into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between PT Bank Rakyat and Heineken NV, you can compare the effects of market volatilities on PT Bank and Heineken 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 PT Bank with a short position of Heineken. Check out your portfolio center. Please also check ongoing floating volatility patterns of PT Bank and Heineken.
Diversification Opportunities for PT Bank and Heineken
Very poor diversification
The 3 months correlation between BKRKF and Heineken is 0.8. Overlapping area represents the amount of risk that can be diversified away by holding PT Bank Rakyat and Heineken NV in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Heineken NV and PT Bank 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 PT Bank Rakyat are associated (or correlated) with Heineken. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Heineken NV has no effect on the direction of PT Bank i.e., PT Bank and Heineken go up and down completely randomly.
Pair Corralation between PT Bank and Heineken
Assuming the 90 days horizon PT Bank Rakyat is expected to generate 6.19 times more return on investment than Heineken. However, PT Bank is 6.19 times more volatile than Heineken NV. It trades about 0.01 of its potential returns per unit of risk. Heineken NV is currently generating about -0.51 per unit of risk. If you would invest 26.00 in PT Bank Rakyat on August 30, 2024 and sell it today you would lose (1.00) from holding PT Bank Rakyat or give up 3.85% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
PT Bank Rakyat vs. Heineken NV
Performance |
| Timeline |
| PT Bank Rakyat |
| Heineken NV |
PT Bank and Heineken Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with PT Bank and Heineken
The main advantage of trading using opposite PT Bank and Heineken positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if PT Bank position performs unexpectedly, Heineken 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 Heineken will offset losses from the drop in Heineken's long position.The idea behind PT Bank Rakyat and Heineken NV pairs trading is to make the combined position market-neutral, meaning the overall market's direction will not affect its win or loss (or potential downside or upside). This can be achieved by designing a pairs trade with two highly correlated stocks or equities that operate in a similar space or sector, making it possible to obtain profits through simple and relatively low-risk investment.| Heineken vs. Anheuser Busch InBev SANV | Heineken vs. Tsingtao Brewery Co | Heineken vs. Carlsberg AS | Heineken vs. Heineken Holding NV |
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 Cryptocurrency Center module to build and monitor diversified portfolio of extremely risky digital assets and cryptocurrency.
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