Correlation Between CSL and PT Bank
Can any of the company-specific risk be diversified away by investing in both CSL 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 CSL and PT Bank into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between CSL Limited and PT Bank Maybank, you can compare the effects of market volatilities on CSL 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 CSL with a short position of PT Bank. Check out your portfolio center. Please also check ongoing floating volatility patterns of CSL and PT Bank.
Diversification Opportunities for CSL and PT Bank
Very weak diversification
The 3 months correlation between CSL and BOZA is 0.53. Overlapping area represents the amount of risk that can be diversified away by holding CSL Limited and PT Bank Maybank in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on PT Bank Maybank and CSL 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 CSL Limited 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 Maybank has no effect on the direction of CSL i.e., CSL and PT Bank go up and down completely randomly.
Pair Corralation between CSL and PT Bank
Assuming the 90 days horizon CSL Limited is expected to under-perform the PT Bank. But the stock apears to be less risky and, when comparing its historical volatility, CSL Limited is 2.49 times less risky than PT Bank. The stock trades about 0.0 of its potential returns per unit of risk. The PT Bank Maybank is currently generating about 0.02 of returns per unit of risk over similar time horizon. If you would invest 1.25 in PT Bank Maybank on September 4, 2024 and sell it today you would earn a total of 0.00 from holding PT Bank Maybank or generate 0.0% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Weak |
| Accuracy | 95.45% |
| Values | Daily Returns |
CSL Limited vs. PT Bank Maybank
Performance |
| Timeline |
| CSL Limited |
| PT Bank Maybank |
CSL and PT Bank Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with CSL and PT Bank
The main advantage of trading using opposite CSL and PT Bank positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if CSL 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.| CSL vs. Warner Music Group | CSL vs. Transportadora de Gas | CSL vs. BROADWIND ENRGY | CSL vs. Gold Road Resources |
| PT Bank vs. Magic Software Enterprises | PT Bank vs. Constellation Software | PT Bank vs. Sqs Software Quality | PT Bank vs. Soken Chemical Engineering |
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 Analyst Advice module to analyst recommendations and target price estimates broken down by several categories.
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