Correlation Between Hanjaya Mandala and Bank Negara
Can any of the company-specific risk be diversified away by investing in both Hanjaya Mandala and Bank Negara 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 Hanjaya Mandala and Bank Negara into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Hanjaya Mandala Sampoerna and Bank Negara Indonesia, you can compare the effects of market volatilities on Hanjaya Mandala and Bank Negara 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 Hanjaya Mandala with a short position of Bank Negara. Check out your portfolio center. Please also check ongoing floating volatility patterns of Hanjaya Mandala and Bank Negara.
Diversification Opportunities for Hanjaya Mandala and Bank Negara
0.64 | Correlation Coefficient |
Poor diversification
The 3 months correlation between Hanjaya and Bank is 0.64. Overlapping area represents the amount of risk that can be diversified away by holding Hanjaya Mandala Sampoerna and Bank Negara Indonesia in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Bank Negara Indonesia and Hanjaya Mandala 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 Hanjaya Mandala Sampoerna are associated (or correlated) with Bank Negara. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Bank Negara Indonesia has no effect on the direction of Hanjaya Mandala i.e., Hanjaya Mandala and Bank Negara go up and down completely randomly.
Pair Corralation between Hanjaya Mandala and Bank Negara
Assuming the 90 days trading horizon Hanjaya Mandala Sampoerna is expected to generate 0.78 times more return on investment than Bank Negara. However, Hanjaya Mandala Sampoerna is 1.28 times less risky than Bank Negara. It trades about -0.22 of its potential returns per unit of risk. Bank Negara Indonesia is currently generating about -0.38 per unit of risk. If you would invest 69,000 in Hanjaya Mandala Sampoerna on August 27, 2024 and sell it today you would lose (4,000) from holding Hanjaya Mandala Sampoerna or give up 5.8% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Hanjaya Mandala Sampoerna vs. Bank Negara Indonesia
Performance |
| Timeline |
| Hanjaya Mandala Sampoerna |
| Bank Negara Indonesia |
Hanjaya Mandala and Bank Negara Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Hanjaya Mandala and Bank Negara
The main advantage of trading using opposite Hanjaya Mandala and Bank Negara positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Hanjaya Mandala position performs unexpectedly, Bank Negara 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 Negara will offset losses from the drop in Bank Negara's long position.| Hanjaya Mandala vs. Gudang Garam Tbk | Hanjaya Mandala vs. Unilever Indonesia Tbk | Hanjaya Mandala vs. Indofood Cbp Sukses | Hanjaya Mandala vs. PT Indofood Sukses |
| Bank Negara vs. Bank Mandiri Persero | Bank Negara vs. Bank Rakyat Indonesia | Bank Negara vs. Bank Central Asia | Bank Negara vs. Astra International Tbk |
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 Global Correlations module to find global opportunities by holding instruments from different markets.
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