Correlation Between Gudang Garam and Bank Bumi
Can any of the company-specific risk be diversified away by investing in both Gudang Garam and Bank Bumi 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 Gudang Garam and Bank Bumi into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Gudang Garam Tbk and Bank Bumi Arta, you can compare the effects of market volatilities on Gudang Garam and Bank Bumi 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 Gudang Garam with a short position of Bank Bumi. Check out your portfolio center. Please also check ongoing floating volatility patterns of Gudang Garam and Bank Bumi.
Diversification Opportunities for Gudang Garam and Bank Bumi
0.78 | Correlation Coefficient |
Poor diversification
The 3 months correlation between Gudang and Bank is 0.78. Overlapping area represents the amount of risk that can be diversified away by holding Gudang Garam Tbk and Bank Bumi Arta in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Bank Bumi Arta and Gudang Garam 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 Gudang Garam Tbk are associated (or correlated) with Bank Bumi. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Bank Bumi Arta has no effect on the direction of Gudang Garam i.e., Gudang Garam and Bank Bumi go up and down completely randomly.
Pair Corralation between Gudang Garam and Bank Bumi
Assuming the 90 days trading horizon Gudang Garam Tbk is expected to under-perform the Bank Bumi. But the stock apears to be less risky and, when comparing its historical volatility, Gudang Garam Tbk is 1.89 times less risky than Bank Bumi. The stock trades about -0.84 of its potential returns per unit of risk. The Bank Bumi Arta is currently generating about 0.04 of returns per unit of risk over similar time horizon. If you would invest 60,500 in Bank Bumi Arta on October 26, 2024 and sell it today you would earn a total of 500.00 from holding Bank Bumi Arta or generate 0.83% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Gudang Garam Tbk vs. Bank Bumi Arta
Performance |
| Timeline |
| Gudang Garam Tbk |
| Bank Bumi Arta |
Gudang Garam and Bank Bumi Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Gudang Garam and Bank Bumi
The main advantage of trading using opposite Gudang Garam and Bank Bumi positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Gudang Garam position performs unexpectedly, Bank Bumi 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 Bumi will offset losses from the drop in Bank Bumi's long position.| Gudang Garam vs. Alam Sutera Realty | Gudang Garam vs. Sentul City Tbk | Gudang Garam vs. Gajah Tunggal Tbk | Gudang Garam vs. Akr Corporindo Tbk |
| Bank Bumi vs. Bank Capital Indonesia | Bank Bumi vs. Bank Mnc Internasional | Bank Bumi vs. Bank Victoria International | Bank Bumi vs. Bank Qnb Indonesia |
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 Rebalancing module to analyze risk-adjusted returns against different time horizons to find asset-allocation targets.
Other Complementary Tools
| Latest Portfolios Quick portfolio dashboard that showcases your latest portfolios | |
| Volatility Analysis Get historical volatility and risk analysis based on latest market data | |
| Portfolio Rebalancing Analyze risk-adjusted returns against different time horizons to find asset-allocation targets | |
| Instant Ratings Determine any equity ratings based on digital recommendations. Macroaxis instant equity ratings are based on combination of fundamental analysis and risk-adjusted market performance | |
| Price Exposure Probability Analyze equity upside and downside potential for a given time horizon across multiple markets |