Correlation Between Bumi Serpong and Bank Danamon
Can any of the company-specific risk be diversified away by investing in both Bumi Serpong and Bank Danamon 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 Bumi Serpong and Bank Danamon into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Bumi Serpong Damai and Bank Danamon Indonesia, you can compare the effects of market volatilities on Bumi Serpong and Bank Danamon 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 Bumi Serpong with a short position of Bank Danamon. Check out your portfolio center. Please also check ongoing floating volatility patterns of Bumi Serpong and Bank Danamon.
Diversification Opportunities for Bumi Serpong and Bank Danamon
0.83 | Correlation Coefficient |
Very poor diversification
The 3 months correlation between Bumi and Bank is 0.83. Overlapping area represents the amount of risk that can be diversified away by holding Bumi Serpong Damai and Bank Danamon Indonesia in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Bank Danamon Indonesia and Bumi Serpong 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 Bumi Serpong Damai are associated (or correlated) with Bank Danamon. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Bank Danamon Indonesia has no effect on the direction of Bumi Serpong i.e., Bumi Serpong and Bank Danamon go up and down completely randomly.
Pair Corralation between Bumi Serpong and Bank Danamon
Assuming the 90 days trading horizon Bumi Serpong Damai is expected to under-perform the Bank Danamon. In addition to that, Bumi Serpong is 2.77 times more volatile than Bank Danamon Indonesia. It trades about -0.56 of its total potential returns per unit of risk. Bank Danamon Indonesia is currently generating about -0.23 per unit of volatility. If you would invest 260,000 in Bank Danamon Indonesia on August 25, 2024 and sell it today you would lose (8,000) from holding Bank Danamon Indonesia or give up 3.08% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
Bumi Serpong Damai vs. Bank Danamon Indonesia
Performance |
| Timeline |
| Bumi Serpong Damai |
| Bank Danamon Indonesia |
Bumi Serpong and Bank Danamon Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Bumi Serpong and Bank Danamon
The main advantage of trading using opposite Bumi Serpong and Bank Danamon positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Bumi Serpong position performs unexpectedly, Bank Danamon 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 Danamon will offset losses from the drop in Bank Danamon's long position.| Bumi Serpong vs. Ciputra Development Tbk | Bumi Serpong vs. Alam Sutera Realty | Bumi Serpong vs. Pakuwon Jati Tbk |
| Bank Danamon vs. Bank Cimb Niaga | Bank Danamon vs. Indosat Tbk | Bank Danamon vs. Astra Agro Lestari | Bank Danamon vs. Bank Mandiri Persero |
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 Money Managers module to screen money managers from public funds and ETFs managed around the world.
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