Correlation Between Bank Maspion and Bank Bumi
Can any of the company-specific risk be diversified away by investing in both Bank Maspion and Bank Bumi 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 Maspion and Bank Bumi into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Bank Maspion Indonesia and Bank Bumi Arta, you can compare the effects of market volatilities on Bank Maspion and Bank Bumi 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 Maspion with a short position of Bank Bumi. Check out your portfolio center. Please also check ongoing floating volatility patterns of Bank Maspion and Bank Bumi.
Diversification Opportunities for Bank Maspion and Bank Bumi
-0.46 | Correlation Coefficient |
Very good diversification
The 3 months correlation between Bank and Bank is -0.46. Overlapping area represents the amount of risk that can be diversified away by holding Bank Maspion Indonesia and Bank Bumi Arta in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Bank Bumi Arta and Bank Maspion 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 Maspion Indonesia are associated (or correlated) with Bank Bumi. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Bank Bumi Arta has no effect on the direction of Bank Maspion i.e., Bank Maspion and Bank Bumi go up and down completely randomly.
Pair Corralation between Bank Maspion and Bank Bumi
Assuming the 90 days trading horizon Bank Maspion Indonesia is expected to under-perform the Bank Bumi. In addition to that, Bank Maspion is 1.16 times more volatile than Bank Bumi Arta. It trades about -0.42 of its total potential returns per unit of risk. Bank Bumi Arta is currently generating about -0.09 per unit of volatility. If you would invest 71,500 in Bank Bumi Arta on September 1, 2024 and sell it today you would lose (3,500) from holding Bank Bumi Arta or give up 4.9% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Very Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
Bank Maspion Indonesia vs. Bank Bumi Arta
Performance |
| Timeline |
| Bank Maspion Indonesia |
| Bank Bumi Arta |
Bank Maspion and Bank Bumi Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Bank Maspion and Bank Bumi
The main advantage of trading using opposite Bank Maspion and Bank Bumi positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Bank Maspion position performs unexpectedly, Bank Bumi 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 Bumi will offset losses from the drop in Bank Bumi's long position.| Bank Maspion vs. Bank BRISyariah Tbk | Bank Maspion vs. Ace Hardware Indonesia | Bank Maspion vs. Merdeka Copper Gold | Bank Maspion vs. Mitra Pinasthika Mustika |
| Bank Bumi vs. Bank Capital Indonesia | Bank Bumi vs. Bank Mnc Internasional | Bank Bumi vs. Bank Victoria International | Bank Bumi 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 Insider Screener module to find insiders across different sectors to evaluate their impact on performance.
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