Correlation Between PT Bank and Pason Systems
Can any of the company-specific risk be diversified away by investing in both PT Bank and Pason Systems 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 Pason Systems 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 Pason Systems, you can compare the effects of market volatilities on PT Bank and Pason Systems 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 Pason Systems. Check out your portfolio center. Please also check ongoing floating volatility patterns of PT Bank and Pason Systems.
Diversification Opportunities for PT Bank and Pason Systems
-0.41 | Correlation Coefficient |
Very good diversification
The 3 months correlation between BKRKF and Pason is -0.41. Overlapping area represents the amount of risk that can be diversified away by holding PT Bank Rakyat and Pason Systems in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Pason Systems 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 Pason Systems. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Pason Systems has no effect on the direction of PT Bank i.e., PT Bank and Pason Systems go up and down completely randomly.
Pair Corralation between PT Bank and Pason Systems
Assuming the 90 days horizon PT Bank Rakyat is expected to generate 1.75 times more return on investment than Pason Systems. However, PT Bank is 1.75 times more volatile than Pason Systems. It trades about 0.02 of its potential returns per unit of risk. Pason Systems is currently generating about 0.01 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 Against |
| Strength | Very Weak |
| Accuracy | 99.51% |
| Values | Daily Returns |
PT Bank Rakyat vs. Pason Systems
Performance |
| Timeline |
| PT Bank Rakyat |
| Pason Systems |
PT Bank and Pason Systems Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with PT Bank and Pason Systems
The main advantage of trading using opposite PT Bank and Pason Systems positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if PT Bank position performs unexpectedly, Pason Systems 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 Pason Systems will offset losses from the drop in Pason Systems' 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 |
| Pason Systems vs. Koil Energy Solutions | Pason Systems vs. TerraVest Industries | Pason Systems vs. Enterprise Group | Pason Systems vs. Source Energy Services |
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 Portfolio Volatility module to check portfolio volatility and analyze historical return density to properly model market risk.
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