Correlation Between PT Bumi and VINCI SA
Can any of the company-specific risk be diversified away by investing in both PT Bumi and VINCI 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 Bumi and VINCI SA into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between PT Bumi Resources and VINCI SA, you can compare the effects of market volatilities on PT Bumi and VINCI 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 Bumi with a short position of VINCI SA. Check out your portfolio center. Please also check ongoing floating volatility patterns of PT Bumi and VINCI SA.
Diversification Opportunities for PT Bumi and VINCI SA
Very good diversification
The 3 months correlation between PBMRF and VINCI is -0.48. Overlapping area represents the amount of risk that can be diversified away by holding PT Bumi Resources and VINCI SA in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on VINCI SA and PT Bumi 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 Bumi Resources are associated (or correlated) with VINCI SA. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of VINCI SA has no effect on the direction of PT Bumi i.e., PT Bumi and VINCI SA go up and down completely randomly.
Pair Corralation between PT Bumi and VINCI SA
Assuming the 90 days horizon PT Bumi Resources is expected to generate 26.87 times more return on investment than VINCI SA. However, PT Bumi is 26.87 times more volatile than VINCI SA. It trades about 0.06 of its potential returns per unit of risk. VINCI SA is currently generating about 0.0 per unit of risk. If you would invest 0.70 in PT Bumi Resources on August 31, 2024 and sell it today you would lose (0.10) from holding PT Bumi Resources or give up 14.29% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Very Weak |
| Accuracy | 71.58% |
| Values | Daily Returns |
PT Bumi Resources vs. VINCI SA
Performance |
| Timeline |
| PT Bumi Resources |
| VINCI SA |
PT Bumi and VINCI SA Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with PT Bumi and VINCI SA
The main advantage of trading using opposite PT Bumi and VINCI SA positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if PT Bumi position performs unexpectedly, VINCI 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 VINCI SA will offset losses from the drop in VINCI SA's long position.The idea behind PT Bumi Resources and VINCI SA pairs trading is to make the combined position market-neutral, meaning the overall market's direction will not affect its win or loss (or potential downside or upside). This can be achieved by designing a pairs trade with two highly correlated stocks or equities that operate in a similar space or sector, making it possible to obtain profits through simple and relatively low-risk investment.| VINCI SA vs. Arcadis NV | VINCI SA vs. China Railway Group | VINCI SA vs. Skanska AB ser | VINCI SA vs. Digital Locations |
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 My Watchlist Analysis module to analyze my current watchlist and to refresh optimization strategy. Macroaxis watchlist is based on self-learning algorithm to remember stocks you like.
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