Correlation Between IDX 30 and PT Bank
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By analyzing existing cross correlation between IDX 30 Jakarta and PT Bank Bisnis, you can compare the effects of market volatilities on IDX 30 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 IDX 30 with a short position of PT Bank. Check out your portfolio center. Please also check ongoing floating volatility patterns of IDX 30 and PT Bank.
Diversification Opportunities for IDX 30 and PT Bank
Significant diversification
The 3 months correlation between IDX and BBSI is 0.04. Overlapping area represents the amount of risk that can be diversified away by holding IDX 30 Jakarta and PT Bank Bisnis in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on PT Bank Bisnis 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 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 Bisnis has no effect on the direction of IDX 30 i.e., IDX 30 and PT Bank go up and down completely randomly.
Pair Corralation between IDX 30 and PT Bank
Assuming the 90 days trading horizon IDX 30 Jakarta is expected to under-perform the PT Bank. But the index apears to be less risky and, when comparing its historical volatility, IDX 30 Jakarta is 1.34 times less risky than PT Bank. The index trades about -0.31 of its potential returns per unit of risk. The PT Bank Bisnis is currently generating about -0.04 of returns per unit of risk over similar time horizon. If you would invest 427,000 in PT Bank Bisnis on September 1, 2024 and sell it today you would lose (7,000) from holding PT Bank Bisnis or give up 1.64% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Insignificant |
| Accuracy | 100.0% |
| Values | Daily Returns |
IDX 30 Jakarta vs. PT Bank Bisnis
Performance |
| Timeline |
IDX 30 and PT Bank Volatility Contrast
Predicted Return Density |
| Returns |
IDX 30 Jakarta
Pair trading matchups for IDX 30
PT Bank Bisnis
Pair trading matchups for PT Bank
Pair Trading with IDX 30 and PT Bank
The main advantage of trading using opposite IDX 30 and PT Bank positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if IDX 30 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.| IDX 30 vs. Indorama Synthetics Tbk | IDX 30 vs. PT Hetzer Medical | IDX 30 vs. Alumindo Light Metal | IDX 30 vs. PT Bank Bisnis |
| PT Bank vs. Bk Harda Internasional | PT Bank vs. Bank Yudha Bhakti | PT Bank vs. Bank Net Indonesia | PT Bank vs. Bank Amar 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 Global Correlations module to find global opportunities by holding instruments from different markets.
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