Correlation Between IDX 30 and Bank Central
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By analyzing existing cross correlation between IDX 30 Jakarta and Bank Central Asia, you can compare the effects of market volatilities on IDX 30 and Bank Central 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 IDX 30 with a short position of Bank Central. Check out your portfolio center. Please also check ongoing floating volatility patterns of IDX 30 and Bank Central.
Diversification Opportunities for IDX 30 and Bank Central
0.88 | Correlation Coefficient |
Very poor diversification
The 3 months correlation between IDX and Bank is 0.88. Overlapping area represents the amount of risk that can be diversified away by holding IDX 30 Jakarta and Bank Central Asia in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Bank Central Asia and IDX 30 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 IDX 30 Jakarta are associated (or correlated) with Bank Central. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Bank Central Asia has no effect on the direction of IDX 30 i.e., IDX 30 and Bank Central go up and down completely randomly.
Pair Corralation between IDX 30 and Bank Central
Assuming the 90 days trading horizon IDX 30 Jakarta is expected to generate 0.77 times more return on investment than Bank Central. However, IDX 30 Jakarta is 1.29 times less risky than Bank Central. It trades about -0.02 of its potential returns per unit of risk. Bank Central Asia is currently generating about -0.03 per unit of risk. If you would invest 45,758 in IDX 30 Jakarta on August 27, 2024 and sell it today you would lose (891.00) from holding IDX 30 Jakarta or give up 1.95% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
IDX 30 Jakarta vs. Bank Central Asia
Performance |
| Timeline |
IDX 30 and Bank Central Volatility Contrast
Predicted Return Density |
| Returns |
IDX 30 Jakarta
Pair trading matchups for IDX 30
Bank Central Asia
Pair trading matchups for Bank Central
Pair Trading with IDX 30 and Bank Central
The main advantage of trading using opposite IDX 30 and Bank Central positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if IDX 30 position performs unexpectedly, Bank Central 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 Central will offset losses from the drop in Bank Central's long position.| IDX 30 vs. Lion Metal Works | IDX 30 vs. Indointernet Tbk PT | IDX 30 vs. Enseval Putra Megatrading | IDX 30 vs. Surya Citra Media |
| Bank Central vs. Bank Rakyat Indonesia | Bank Central vs. Bank Mandiri Persero | Bank Central vs. Bank Negara Indonesia | Bank Central 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 Portfolio Holdings module to check your current holdings and cash postion to detemine if your portfolio needs rebalancing.
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