Correlation Between Itau Unibanco and Bank Negara
Can any of the company-specific risk be diversified away by investing in both Itau Unibanco 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 Itau Unibanco and Bank Negara into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Itau Unibanco Banco and Bank Negara Indonesia, you can compare the effects of market volatilities on Itau Unibanco 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 Itau Unibanco with a short position of Bank Negara. Check out your portfolio center. Please also check ongoing floating volatility patterns of Itau Unibanco and Bank Negara.
Diversification Opportunities for Itau Unibanco and Bank Negara
0.58 | Correlation Coefficient |
Very weak diversification
The 3 months correlation between Itau and Bank is 0.58. Overlapping area represents the amount of risk that can be diversified away by holding Itau Unibanco Banco 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 Itau Unibanco 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 Itau Unibanco Banco 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 Itau Unibanco i.e., Itau Unibanco and Bank Negara go up and down completely randomly.
Pair Corralation between Itau Unibanco and Bank Negara
Given the investment horizon of 90 days Itau Unibanco Banco is expected to under-perform the Bank Negara. But the stock apears to be less risky and, when comparing its historical volatility, Itau Unibanco Banco is 1.84 times less risky than Bank Negara. The stock trades about -0.21 of its potential returns per unit of risk. The Bank Negara Indonesia is currently generating about -0.05 of returns per unit of risk over similar time horizon. If you would invest 1,642 in Bank Negara Indonesia on September 2, 2024 and sell it today you would lose (97.00) from holding Bank Negara Indonesia or give up 5.91% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
Itau Unibanco Banco vs. Bank Negara Indonesia
Performance |
| Timeline |
| Itau Unibanco Banco |
| Bank Negara Indonesia |
Itau Unibanco and Bank Negara Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Itau Unibanco and Bank Negara
The main advantage of trading using opposite Itau Unibanco and Bank Negara positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Itau Unibanco 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.| Itau Unibanco vs. Grupo Financiero Galicia | Itau Unibanco vs. Banco Macro SA | Itau Unibanco vs. Banco Santander Brasil | Itau Unibanco vs. Lloyds Banking Group |
| Bank Negara vs. Piraeus Bank SA | Bank Negara vs. Turkiye Garanti Bankasi | Bank Negara vs. Uwharrie Capital Corp |
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 AI Portfolio Architect module to use AI to generate optimal portfolios and find profitable investment opportunities.
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