Correlation Between Nedbank and PT Bank
Can any of the company-specific risk be diversified away by investing in both Nedbank 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 Nedbank and PT Bank into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Nedbank Group and PT Bank Rakyat, you can compare the effects of market volatilities on Nedbank 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 Nedbank with a short position of PT Bank. Check out your portfolio center. Please also check ongoing floating volatility patterns of Nedbank and PT Bank.
Diversification Opportunities for Nedbank and PT Bank
Good diversification
The 3 months correlation between Nedbank and BKRKF is -0.18. Overlapping area represents the amount of risk that can be diversified away by holding Nedbank 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 Nedbank 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 Nedbank 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 Nedbank i.e., Nedbank and PT Bank go up and down completely randomly.
Pair Corralation between Nedbank and PT Bank
Assuming the 90 days horizon Nedbank Group is expected to under-perform the PT Bank. But the pink sheet apears to be less risky and, when comparing its historical volatility, Nedbank Group is 5.73 times less risky than PT Bank. The pink sheet trades about -0.17 of its potential returns per unit of risk. The PT Bank Rakyat is currently generating about 0.0 of returns per unit of risk over similar time horizon. If you would invest 29.00 in PT Bank Rakyat on August 28, 2024 and sell it today you would lose (2.00) from holding PT Bank Rakyat or give up 6.9% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Insignificant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Nedbank Group vs. PT Bank Rakyat
Performance |
| Timeline |
| Nedbank Group |
| PT Bank Rakyat |
Nedbank and PT Bank Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Nedbank and PT Bank
The main advantage of trading using opposite Nedbank and PT Bank positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Nedbank 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.| Nedbank vs. Standard Bank Group | Nedbank vs. Sanlam Ltd PK | Nedbank vs. Absa Group Ltd | Nedbank vs. Bank Mandiri Persero |
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 Instant Ratings module to determine any equity ratings based on digital recommendations. Macroaxis instant equity ratings are based on combination of fundamental analysis and risk-adjusted market performance.
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