Correlation Between Perusahaan Gas and Bank Rakyat
Can any of the company-specific risk be diversified away by investing in both Perusahaan Gas and Bank Rakyat 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 Perusahaan Gas and Bank Rakyat into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Perusahaan Gas Negara and Bank Rakyat Indonesia, you can compare the effects of market volatilities on Perusahaan Gas and Bank Rakyat 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 Perusahaan Gas with a short position of Bank Rakyat. Check out your portfolio center. Please also check ongoing floating volatility patterns of Perusahaan Gas and Bank Rakyat.
Diversification Opportunities for Perusahaan Gas and Bank Rakyat
0.13 | Correlation Coefficient |
Average diversification
The 3 months correlation between Perusahaan and Bank is 0.13. Overlapping area represents the amount of risk that can be diversified away by holding Perusahaan Gas Negara and Bank Rakyat Indonesia in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Bank Rakyat Indonesia and Perusahaan Gas 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 Perusahaan Gas Negara are associated (or correlated) with Bank Rakyat. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Bank Rakyat Indonesia has no effect on the direction of Perusahaan Gas i.e., Perusahaan Gas and Bank Rakyat go up and down completely randomly.
Pair Corralation between Perusahaan Gas and Bank Rakyat
Assuming the 90 days trading horizon Perusahaan Gas Negara is expected to generate 1.11 times more return on investment than Bank Rakyat. However, Perusahaan Gas is 1.11 times more volatile than Bank Rakyat Indonesia. It trades about 0.01 of its potential returns per unit of risk. Bank Rakyat Indonesia is currently generating about 0.02 per unit of risk. If you would invest 149,972 in Perusahaan Gas Negara on August 28, 2024 and sell it today you would earn a total of 7,028 from holding Perusahaan Gas Negara or generate 4.69% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Insignificant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Perusahaan Gas Negara vs. Bank Rakyat Indonesia
Performance |
| Timeline |
| Perusahaan Gas Negara |
| Bank Rakyat Indonesia |
Perusahaan Gas and Bank Rakyat Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Perusahaan Gas and Bank Rakyat
The main advantage of trading using opposite Perusahaan Gas and Bank Rakyat positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Perusahaan Gas position performs unexpectedly, Bank Rakyat 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 Rakyat will offset losses from the drop in Bank Rakyat's long position.| Perusahaan Gas vs. Aneka Tambang Persero | Perusahaan Gas vs. Bukit Asam Tbk | Perusahaan Gas vs. Telkom Indonesia Tbk | Perusahaan Gas vs. Astra International Tbk |
| Bank Rakyat vs. Bank Central Asia | Bank Rakyat vs. Bank Mandiri Persero | Bank Rakyat vs. Bank Negara Indonesia | Bank Rakyat vs. Telkom Indonesia Tbk |
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 Price Ceiling Movement module to calculate and plot Price Ceiling Movement for different equity instruments.
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