Correlation Between PT Bank and Alstom SA
Can any of the company-specific risk be diversified away by investing in both PT Bank and Alstom SA 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 PT Bank and Alstom SA into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between PT Bank Central and Alstom SA, you can compare the effects of market volatilities on PT Bank and Alstom SA 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 PT Bank with a short position of Alstom SA. Check out your portfolio center. Please also check ongoing floating volatility patterns of PT Bank and Alstom SA.
Diversification Opportunities for PT Bank and Alstom SA
Very good diversification
The 3 months correlation between PBCRF and Alstom is -0.39. Overlapping area represents the amount of risk that can be diversified away by holding PT Bank Central and Alstom SA in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Alstom SA and PT Bank 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 PT Bank Central are associated (or correlated) with Alstom SA. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Alstom SA has no effect on the direction of PT Bank i.e., PT Bank and Alstom SA go up and down completely randomly.
Pair Corralation between PT Bank and Alstom SA
Assuming the 90 days horizon PT Bank is expected to generate 1.2 times less return on investment than Alstom SA. But when comparing it to its historical volatility, PT Bank Central is 1.24 times less risky than Alstom SA. It trades about 0.03 of its potential returns per unit of risk. Alstom SA is currently generating about 0.03 of returns per unit of risk over similar time horizon. If you would invest 2,184 in Alstom SA on September 12, 2024 and sell it today you would earn a total of 141.00 from holding Alstom SA or generate 6.46% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Insignificant |
| Accuracy | 98.18% |
| Values | Daily Returns |
PT Bank Central vs. Alstom SA
Performance |
| Timeline |
| PT Bank Central |
| Alstom SA |
PT Bank and Alstom SA Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with PT Bank and Alstom SA
The main advantage of trading using opposite PT Bank and Alstom SA positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if PT Bank position performs unexpectedly, Alstom SA 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 Alstom SA will offset losses from the drop in Alstom SA's long position.| PT Bank vs. Commercial International Bank | PT Bank vs. Caixabank SA ADR | PT Bank vs. Bank Rakyat | PT Bank vs. Lloyds Banking Group |
| Alstom SA vs. Westinghouse Air Brake | Alstom SA vs. Canadian Pacific Railway | Alstom SA vs. Trinity Industries | Alstom SA vs. CSX Corporation |
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 Equity Search module to search for actively traded equities including funds and ETFs from over 30 global markets.
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