Correlation Between Hanjaya Mandala and Bank Rakyat
Can any of the company-specific risk be diversified away by investing in both Hanjaya Mandala and Bank Rakyat 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 Rakyat 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 Rakyat Indonesia, you can compare the effects of market volatilities on Hanjaya Mandala and Bank Rakyat 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 Rakyat. Check out your portfolio center. Please also check ongoing floating volatility patterns of Hanjaya Mandala and Bank Rakyat.
Diversification Opportunities for Hanjaya Mandala and Bank Rakyat
0.78 | Correlation Coefficient |
Poor diversification
The 3 months correlation between Hanjaya and Bank is 0.78. Overlapping area represents the amount of risk that can be diversified away by holding Hanjaya Mandala Sampoerna and Bank Rakyat Indonesia in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Bank Rakyat 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 Rakyat. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Bank Rakyat Indonesia has no effect on the direction of Hanjaya Mandala i.e., Hanjaya Mandala and Bank Rakyat go up and down completely randomly.
Pair Corralation between Hanjaya Mandala and Bank Rakyat
Assuming the 90 days trading horizon Hanjaya Mandala Sampoerna is expected to under-perform the Bank Rakyat. But the stock apears to be less risky and, when comparing its historical volatility, Hanjaya Mandala Sampoerna is 1.31 times less risky than Bank Rakyat. The stock trades about -0.22 of its potential returns per unit of risk. The Bank Rakyat Indonesia is currently generating about -0.16 of returns per unit of risk over similar time horizon. If you would invest 476,000 in Bank Rakyat Indonesia on August 27, 2024 and sell it today you would lose (27,000) from holding Bank Rakyat Indonesia or give up 5.67% 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 Rakyat Indonesia
Performance |
| Timeline |
| Hanjaya Mandala Sampoerna |
| Bank Rakyat Indonesia |
Hanjaya Mandala and Bank Rakyat Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Hanjaya Mandala and Bank Rakyat
The main advantage of trading using opposite Hanjaya Mandala and Bank Rakyat positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Hanjaya Mandala position performs unexpectedly, Bank Rakyat 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 Rakyat will offset losses from the drop in Bank Rakyat'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 Rakyat vs. Bank Central Asia | Bank Rakyat vs. Bank Mandiri Persero | Bank Rakyat vs. Bank Negara Indonesia | Bank Rakyat vs. Telkom Indonesia 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 Cryptocurrency Center module to build and monitor diversified portfolio of extremely risky digital assets and cryptocurrency.
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