Correlation Between Bank Bumi and Bank Mnc
Can any of the company-specific risk be diversified away by investing in both Bank Bumi and Bank Mnc 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 Bumi and Bank Mnc into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Bank Bumi Arta and Bank Mnc Internasional, you can compare the effects of market volatilities on Bank Bumi and Bank Mnc 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 Bumi with a short position of Bank Mnc. Check out your portfolio center. Please also check ongoing floating volatility patterns of Bank Bumi and Bank Mnc.
Diversification Opportunities for Bank Bumi and Bank Mnc
Poor diversification
The 3 months correlation between Bank and Bank is 0.78. Overlapping area represents the amount of risk that can be diversified away by holding Bank Bumi Arta and Bank Mnc Internasional in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Bank Mnc Internasional and Bank Bumi 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 Bumi Arta are associated (or correlated) with Bank Mnc. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Bank Mnc Internasional has no effect on the direction of Bank Bumi i.e., Bank Bumi and Bank Mnc go up and down completely randomly.
Pair Corralation between Bank Bumi and Bank Mnc
Assuming the 90 days trading horizon Bank Bumi Arta is expected to generate 0.74 times more return on investment than Bank Mnc. However, Bank Bumi Arta is 1.35 times less risky than Bank Mnc. It trades about -0.1 of its potential returns per unit of risk. Bank Mnc Internasional is currently generating about -0.19 per unit of risk. If you would invest 71,500 in Bank Bumi Arta on August 31, 2024 and sell it today you would lose (4,000) from holding Bank Bumi Arta or give up 5.59% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Bank Bumi Arta vs. Bank Mnc Internasional
Performance |
| Timeline |
| Bank Bumi Arta |
| Bank Mnc Internasional |
Bank Bumi and Bank Mnc Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Bank Bumi and Bank Mnc
The main advantage of trading using opposite Bank Bumi and Bank Mnc positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Bank Bumi position performs unexpectedly, Bank Mnc 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 Mnc will offset losses from the drop in Bank Mnc's long position.| Bank Bumi vs. Bank BRISyariah Tbk | Bank Bumi vs. Ace Hardware Indonesia | Bank Bumi vs. Merdeka Copper Gold | Bank Bumi vs. Mitra Pinasthika Mustika |
| Bank Mnc vs. Bank Capital Indonesia | Bank Mnc vs. Bank Pembangunan Daerah | Bank Mnc vs. Bank Victoria International | Bank Mnc 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 Watchlist Optimization module to optimize watchlists to build efficient portfolios or rebalance existing positions based on the mean-variance optimization algorithm.
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