Correlation Between BANK RAKYAT and PT Bank
Can any of the company-specific risk be diversified away by investing in both BANK RAKYAT and PT Bank 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 RAKYAT and PT Bank into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between BANK RAKYAT IND and PT Bank Mandiri, you can compare the effects of market volatilities on BANK RAKYAT and PT Bank 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 RAKYAT with a short position of PT Bank. Check out your portfolio center. Please also check ongoing floating volatility patterns of BANK RAKYAT and PT Bank.
Diversification Opportunities for BANK RAKYAT and PT Bank
0.77 | Correlation Coefficient |
Poor diversification
The 3 months correlation between BANK and PQ9 is 0.77. Overlapping area represents the amount of risk that can be diversified away by holding BANK RAKYAT IND and PT Bank Mandiri in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on PT Bank Mandiri and BANK RAKYAT 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 RAKYAT IND are associated (or correlated) with PT Bank. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of PT Bank Mandiri has no effect on the direction of BANK RAKYAT i.e., BANK RAKYAT and PT Bank go up and down completely randomly.
Pair Corralation between BANK RAKYAT and PT Bank
Assuming the 90 days trading horizon BANK RAKYAT is expected to generate 5.54 times less return on investment than PT Bank. But when comparing it to its historical volatility, BANK RAKYAT IND is 1.82 times less risky than PT Bank. It trades about 0.01 of its potential returns per unit of risk. PT Bank Mandiri is currently generating about 0.04 of returns per unit of risk over similar time horizon. If you would invest 32.00 in PT Bank Mandiri on September 1, 2024 and sell it today you would earn a total of 3.00 from holding PT Bank Mandiri or generate 9.38% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
BANK RAKYAT IND vs. PT Bank Mandiri
Performance |
| Timeline |
| BANK RAKYAT IND |
| PT Bank Mandiri |
BANK RAKYAT and PT Bank Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with BANK RAKYAT and PT Bank
The main advantage of trading using opposite BANK RAKYAT and PT Bank positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if BANK RAKYAT position performs unexpectedly, PT Bank 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 PT Bank will offset losses from the drop in PT Bank's long position.| BANK RAKYAT vs. Grand Canyon Education | BANK RAKYAT vs. LG Display Co | BANK RAKYAT vs. Seven West Media | BANK RAKYAT vs. Laureate Education |
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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 Financial Widgets module to easily integrated Macroaxis content with over 30 different plug-and-play financial widgets.
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