Correlation Between Bank BRISyariah and Duta Pertiwi
Can any of the company-specific risk be diversified away by investing in both Bank BRISyariah and Duta Pertiwi 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 BRISyariah and Duta Pertiwi into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Bank BRISyariah Tbk and Duta Pertiwi Nusantara, you can compare the effects of market volatilities on Bank BRISyariah and Duta Pertiwi 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 BRISyariah with a short position of Duta Pertiwi. Check out your portfolio center. Please also check ongoing floating volatility patterns of Bank BRISyariah and Duta Pertiwi.
Diversification Opportunities for Bank BRISyariah and Duta Pertiwi
-0.44 | Correlation Coefficient |
Very good diversification
The 3 months correlation between Bank and Duta is -0.44. Overlapping area represents the amount of risk that can be diversified away by holding Bank BRISyariah Tbk and Duta Pertiwi Nusantara in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Duta Pertiwi Nusantara and Bank BRISyariah 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 BRISyariah Tbk are associated (or correlated) with Duta Pertiwi. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Duta Pertiwi Nusantara has no effect on the direction of Bank BRISyariah i.e., Bank BRISyariah and Duta Pertiwi go up and down completely randomly.
Pair Corralation between Bank BRISyariah and Duta Pertiwi
Assuming the 90 days trading horizon Bank BRISyariah Tbk is expected to under-perform the Duta Pertiwi. In addition to that, Bank BRISyariah is 2.93 times more volatile than Duta Pertiwi Nusantara. It trades about -0.02 of its total potential returns per unit of risk. Duta Pertiwi Nusantara is currently generating about -0.03 per unit of volatility. If you would invest 34,200 in Duta Pertiwi Nusantara on August 28, 2024 and sell it today you would lose (200.00) from holding Duta Pertiwi Nusantara or give up 0.58% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Very Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
Bank BRISyariah Tbk vs. Duta Pertiwi Nusantara
Performance |
| Timeline |
| Bank BRISyariah Tbk |
| Duta Pertiwi Nusantara |
Bank BRISyariah and Duta Pertiwi Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Bank BRISyariah and Duta Pertiwi
The main advantage of trading using opposite Bank BRISyariah and Duta Pertiwi positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Bank BRISyariah position performs unexpectedly, Duta Pertiwi 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 Duta Pertiwi will offset losses from the drop in Duta Pertiwi's long position.| Bank BRISyariah vs. Aneka Tambang Persero | Bank BRISyariah vs. Sido Muncul PT | Bank BRISyariah vs. Indofood Cbp Sukses | Bank BRISyariah vs. Bank Tabungan Pensiunan |
| Duta Pertiwi vs. Intanwijaya Internasional Tbk | Duta Pertiwi vs. Betonjaya Manunggal Tbk | Duta Pertiwi vs. Asiaplast Industries Tbk | Duta Pertiwi vs. Argha Karya Prima |
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 Optimization module to compute new portfolio that will generate highest expected return given your specified tolerance for risk.
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