Correlation Between Permanent TSB and PT Bank
Can any of the company-specific risk be diversified away by investing in both Permanent TSB and PT Bank 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 Permanent TSB and PT Bank into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Permanent TSB Group and PT Bank Rakyat, you can compare the effects of market volatilities on Permanent TSB 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 Permanent TSB with a short position of PT Bank. Check out your portfolio center. Please also check ongoing floating volatility patterns of Permanent TSB and PT Bank.
Diversification Opportunities for Permanent TSB and PT Bank
0.05 | Correlation Coefficient |
Significant diversification
The 3 months correlation between Permanent and BKRKF is 0.05. Overlapping area represents the amount of risk that can be diversified away by holding Permanent TSB Group and PT Bank Rakyat in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on PT Bank Rakyat and Permanent TSB 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 Permanent TSB Group 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 Rakyat has no effect on the direction of Permanent TSB i.e., Permanent TSB and PT Bank go up and down completely randomly.
Pair Corralation between Permanent TSB and PT Bank
Assuming the 90 days horizon Permanent TSB is expected to generate 1.06 times less return on investment than PT Bank. But when comparing it to its historical volatility, Permanent TSB Group is 4.7 times less risky than PT Bank. It trades about 0.13 of its potential returns per unit of risk. PT Bank Rakyat is currently generating about 0.03 of returns per unit of risk over similar time horizon. If you would invest 23.00 in PT Bank Rakyat on November 4, 2024 and sell it today you would lose (1.00) from holding PT Bank Rakyat or give up 4.35% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Insignificant |
| Accuracy | 93.02% |
| Values | Daily Returns |
Permanent TSB Group vs. PT Bank Rakyat
Performance |
| Timeline |
| Permanent TSB Group |
| PT Bank Rakyat |
Permanent TSB and PT Bank Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Permanent TSB and PT Bank
The main advantage of trading using opposite Permanent TSB and PT Bank positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Permanent TSB 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.| Permanent TSB vs. Japan Post Holdings | Permanent TSB vs. Commercial International Bank | Permanent TSB vs. Kasikornbank Public Co | Permanent TSB vs. China Merchants Bank |
| PT Bank vs. Bank Mandiri Persero | PT Bank vs. Piraeus Bank SA | PT Bank vs. Eurobank Ergasias Services | PT Bank vs. Kasikornbank Public Co |
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 Idea Analyzer module to analyze all characteristics, volatility and risk-adjusted return of Macroaxis ideas.
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