Correlation Between Lippo Cikarang and Bank Negara
Can any of the company-specific risk be diversified away by investing in both Lippo Cikarang 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 Lippo Cikarang and Bank Negara into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Lippo Cikarang Tbk and Bank Negara Indonesia, you can compare the effects of market volatilities on Lippo Cikarang 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 Lippo Cikarang with a short position of Bank Negara. Check out your portfolio center. Please also check ongoing floating volatility patterns of Lippo Cikarang and Bank Negara.
Diversification Opportunities for Lippo Cikarang and Bank Negara
0.59 | Correlation Coefficient |
Very weak diversification
The 3 months correlation between Lippo and Bank is 0.59. Overlapping area represents the amount of risk that can be diversified away by holding Lippo Cikarang Tbk 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 Lippo Cikarang 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 Lippo Cikarang Tbk 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 Lippo Cikarang i.e., Lippo Cikarang and Bank Negara go up and down completely randomly.
Pair Corralation between Lippo Cikarang and Bank Negara
Assuming the 90 days trading horizon Lippo Cikarang Tbk is expected to under-perform the Bank Negara. In addition to that, Lippo Cikarang is 1.62 times more volatile than Bank Negara Indonesia. It trades about -0.43 of its total potential returns per unit of risk. Bank Negara Indonesia is currently generating about -0.09 per unit of volatility. If you would invest 522,500 in Bank Negara Indonesia on August 31, 2024 and sell it today you would lose (20,000) from holding Bank Negara Indonesia or give up 3.83% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
Lippo Cikarang Tbk vs. Bank Negara Indonesia
Performance |
| Timeline |
| Lippo Cikarang Tbk |
| Bank Negara Indonesia |
Lippo Cikarang and Bank Negara Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Lippo Cikarang and Bank Negara
The main advantage of trading using opposite Lippo Cikarang and Bank Negara positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Lippo Cikarang 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.| Lippo Cikarang vs. Lippo Karawaci Tbk | Lippo Cikarang vs. Surya Semesta Internusa | Lippo Cikarang vs. Modernland Realty Ltd | Lippo Cikarang vs. Summarecon Agung Tbk |
| Bank Negara vs. Bank BRISyariah Tbk | Bank Negara vs. Ace Hardware Indonesia | Bank Negara vs. Merdeka Copper Gold | Bank Negara vs. Mitra Pinasthika Mustika |
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 FinTech Suite module to use AI to screen and filter profitable investment opportunities.
Other Complementary Tools
| Balance Of Power Check stock momentum by analyzing Balance Of Power indicator and other technical ratios | |
| Performance Analysis Check effects of mean-variance optimization against your current asset allocation | |
| Watchlist Optimization Optimize watchlists to build efficient portfolios or rebalance existing positions based on the mean-variance optimization algorithm | |
| Options Analysis Analyze and evaluate options and option chains as a potential hedge for your portfolios | |
| Sectors List of equity sectors categorizing publicly traded companies based on their primary business activities |