Correlation Between PT Bank and Nel ASA
Can any of the company-specific risk be diversified away by investing in both PT Bank and Nel ASA 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 Nel ASA 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 Nel ASA, you can compare the effects of market volatilities on PT Bank and Nel ASA 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 Nel ASA. Check out your portfolio center. Please also check ongoing floating volatility patterns of PT Bank and Nel ASA.
Diversification Opportunities for PT Bank and Nel ASA
Poor diversification
The 3 months correlation between BKRKF and Nel is 0.78. Overlapping area represents the amount of risk that can be diversified away by holding PT Bank Rakyat and Nel ASA in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Nel ASA 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 Nel ASA. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Nel ASA has no effect on the direction of PT Bank i.e., PT Bank and Nel ASA go up and down completely randomly.
Pair Corralation between PT Bank and Nel ASA
Assuming the 90 days horizon PT Bank Rakyat is expected to generate 1.16 times more return on investment than Nel ASA. However, PT Bank is 1.16 times more volatile than Nel ASA. It trades about 0.02 of its potential returns per unit of risk. Nel ASA is currently generating about -0.05 per unit of risk. If you would invest 26.00 in PT Bank Rakyat on September 3, 2024 and sell it today you would lose (2.00) from holding PT Bank Rakyat or give up 7.69% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 81.82% |
| Values | Daily Returns |
PT Bank Rakyat vs. Nel ASA
Performance |
| Timeline |
| PT Bank Rakyat |
| Nel ASA |
PT Bank and Nel ASA Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with PT Bank and Nel ASA
The main advantage of trading using opposite PT Bank and Nel ASA positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if PT Bank position performs unexpectedly, Nel ASA 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 Nel ASA will offset losses from the drop in Nel ASA's long position.| PT Bank vs. Bank Mandiri Persero | PT Bank vs. Piraeus Bank SA | PT Bank vs. Eurobank Ergasias Services | PT Bank vs. Kasikornbank Public Co |
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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