Correlation Between Bank Cimb and Alfa Energi
Can any of the company-specific risk be diversified away by investing in both Bank Cimb and Alfa Energi 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 Cimb and Alfa Energi into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Bank Cimb Niaga and Alfa Energi Investama, you can compare the effects of market volatilities on Bank Cimb and Alfa Energi 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 Cimb with a short position of Alfa Energi. Check out your portfolio center. Please also check ongoing floating volatility patterns of Bank Cimb and Alfa Energi.
Diversification Opportunities for Bank Cimb and Alfa Energi
0.79 | Correlation Coefficient |
Poor diversification
The 3 months correlation between Bank and Alfa is 0.79. Overlapping area represents the amount of risk that can be diversified away by holding Bank Cimb Niaga and Alfa Energi Investama in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Alfa Energi Investama and Bank Cimb 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 Cimb Niaga are associated (or correlated) with Alfa Energi. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Alfa Energi Investama has no effect on the direction of Bank Cimb i.e., Bank Cimb and Alfa Energi go up and down completely randomly.
Pair Corralation between Bank Cimb and Alfa Energi
Assuming the 90 days trading horizon Bank Cimb Niaga is expected to generate 0.37 times more return on investment than Alfa Energi. However, Bank Cimb Niaga is 2.72 times less risky than Alfa Energi. It trades about -0.27 of its potential returns per unit of risk. Alfa Energi Investama is currently generating about -0.11 per unit of risk. If you would invest 187,000 in Bank Cimb Niaga on August 31, 2024 and sell it today you would lose (10,500) from holding Bank Cimb Niaga or give up 5.61% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Bank Cimb Niaga vs. Alfa Energi Investama
Performance |
| Timeline |
| Bank Cimb Niaga |
| Alfa Energi Investama |
Bank Cimb and Alfa Energi Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Bank Cimb and Alfa Energi
The main advantage of trading using opposite Bank Cimb and Alfa Energi positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Bank Cimb position performs unexpectedly, Alfa Energi 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 Alfa Energi will offset losses from the drop in Alfa Energi's long position.| Bank Cimb vs. Bank Danamon Indonesia | Bank Cimb vs. Bank Maybank Indonesia | Bank Cimb vs. Bank Pan Indonesia | Bank Cimb vs. Indosat Tbk |
| Alfa Energi vs. Borneo Olah Sarana | Alfa Energi vs. Kapuas Prima Coal | Alfa Energi vs. Central Omega Resources | Alfa Energi vs. Buana Listya Tama |
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 Idea Analyzer module to analyze all characteristics, volatility and risk-adjusted return of Macroaxis ideas.
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