Correlation Between PT Bank and Citigroup

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Can any of the company-specific risk be diversified away by investing in both PT Bank and Citigroup 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 PT Bank and Citigroup into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between PT Bank Rakyat and Citigroup, you can compare the effects of market volatilities on PT Bank and Citigroup 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 PT Bank with a short position of Citigroup. Check out your portfolio center. Please also check ongoing floating volatility patterns of PT Bank and Citigroup.

Diversification Opportunities for PT Bank and Citigroup

-0.8
  Correlation Coefficient

Pay attention - limited upside

The 3 months correlation between BYRA and Citigroup is -0.8. Overlapping area represents the amount of risk that can be diversified away by holding PT Bank Rakyat and Citigroup in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Citigroup and PT Bank 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 PT Bank Rakyat are associated (or correlated) with Citigroup. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Citigroup has no effect on the direction of PT Bank i.e., PT Bank and Citigroup go up and down completely randomly.

Pair Corralation between PT Bank and Citigroup

Assuming the 90 days trading horizon PT Bank Rakyat is expected to under-perform the Citigroup. In addition to that, PT Bank is 2.05 times more volatile than Citigroup. It trades about -0.08 of its total potential returns per unit of risk. Citigroup is currently generating about 0.24 per unit of volatility. If you would invest  5,892  in Citigroup on September 1, 2024 and sell it today you would earn a total of  825.00  from holding Citigroup or generate 14.0% return on investment over 90 days.
Time Period3 Months [change]
DirectionMoves Against 
StrengthSignificant
Accuracy100.0%
ValuesDaily Returns

PT Bank Rakyat  vs.  Citigroup

 Performance 
       Timeline  
PT Bank Rakyat 

Risk-Adjusted Performance

0 of 100

 
Weak
 
Strong
Very Weak
Over the last 90 days PT Bank Rakyat has generated negative risk-adjusted returns adding no value to investors with long positions. In spite of unsteady performance in the last few months, the Stock's basic indicators remain comparatively stable which may send shares a bit higher in December 2024. The newest uproar may also be a sign of mid-term up-swing for the firm private investors.
Citigroup 

Risk-Adjusted Performance

12 of 100

 
Weak
 
Strong
Good
Compared to the overall equity markets, risk-adjusted returns on investments in Citigroup are ranked lower than 12 (%) of all global equities and portfolios over the last 90 days. In spite of rather fragile fundamental indicators, Citigroup exhibited solid returns over the last few months and may actually be approaching a breakup point.

PT Bank and Citigroup Volatility Contrast

   Predicted Return Density   
       Returns  

Pair Trading with PT Bank and Citigroup

The main advantage of trading using opposite PT Bank and Citigroup positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if PT Bank position performs unexpectedly, Citigroup 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 Citigroup will offset losses from the drop in Citigroup's long position.
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The idea behind PT Bank Rakyat and Citigroup pairs trading is to make the combined position market-neutral, meaning the overall market's direction will not affect its win or loss (or potential downside or upside). This can be achieved by designing a pairs trade with two highly correlated stocks or equities that operate in a similar space or sector, making it possible to obtain profits through simple and relatively low-risk investment.
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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 Portfolio Optimization module to compute new portfolio that will generate highest expected return given your specified tolerance for risk.

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