Correlation Between Bank Sinarmas and Bank Maspion
Can any of the company-specific risk be diversified away by investing in both Bank Sinarmas and Bank Maspion 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 Sinarmas and Bank Maspion into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Bank Sinarmas Tbk and Bank Maspion Indonesia, you can compare the effects of market volatilities on Bank Sinarmas and Bank Maspion 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 Sinarmas with a short position of Bank Maspion. Check out your portfolio center. Please also check ongoing floating volatility patterns of Bank Sinarmas and Bank Maspion.
Diversification Opportunities for Bank Sinarmas and Bank Maspion
-0.1 | Correlation Coefficient |
Good diversification
The 3 months correlation between Bank and Bank is -0.1. Overlapping area represents the amount of risk that can be diversified away by holding Bank Sinarmas Tbk and Bank Maspion Indonesia in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Bank Maspion Indonesia and Bank Sinarmas 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 Sinarmas Tbk are associated (or correlated) with Bank Maspion. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Bank Maspion Indonesia has no effect on the direction of Bank Sinarmas i.e., Bank Sinarmas and Bank Maspion go up and down completely randomly.
Pair Corralation between Bank Sinarmas and Bank Maspion
Assuming the 90 days trading horizon Bank Sinarmas Tbk is expected to generate 0.9 times more return on investment than Bank Maspion. However, Bank Sinarmas Tbk is 1.11 times less risky than Bank Maspion. It trades about -0.19 of its potential returns per unit of risk. Bank Maspion Indonesia is currently generating about -0.42 per unit of risk. If you would invest 81,500 in Bank Sinarmas Tbk on September 1, 2024 and sell it today you would lose (9,000) from holding Bank Sinarmas Tbk or give up 11.04% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Insignificant |
| Accuracy | 95.45% |
| Values | Daily Returns |
Bank Sinarmas Tbk vs. Bank Maspion Indonesia
Performance |
| Timeline |
| Bank Sinarmas Tbk |
| Bank Maspion Indonesia |
Bank Sinarmas and Bank Maspion Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Bank Sinarmas and Bank Maspion
The main advantage of trading using opposite Bank Sinarmas and Bank Maspion positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Bank Sinarmas position performs unexpectedly, Bank Maspion 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 Maspion will offset losses from the drop in Bank Maspion's long position.| Bank Sinarmas vs. Bank Tabungan Pensiunan | Bank Sinarmas vs. Bank Bumi Arta | Bank Sinarmas vs. Bank Permata Tbk | Bank Sinarmas vs. Bank Victoria International |
| Bank Maspion vs. Bank BRISyariah Tbk | Bank Maspion vs. Ace Hardware Indonesia | Bank Maspion vs. Merdeka Copper Gold | Bank Maspion vs. Mitra Pinasthika Mustika |
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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