Correlation Between PT Bumi and Yancoal Australia
Can any of the company-specific risk be diversified away by investing in both PT Bumi and Yancoal Australia 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 Yancoal Australia 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 Yancoal Australia, you can compare the effects of market volatilities on PT Bumi and Yancoal Australia 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 Yancoal Australia. Check out your portfolio center. Please also check ongoing floating volatility patterns of PT Bumi and Yancoal Australia.
Diversification Opportunities for PT Bumi and Yancoal Australia
0.53 | Correlation Coefficient |
Very weak diversification
The 3 months correlation between PJM and Yancoal is 0.53. Overlapping area represents the amount of risk that can be diversified away by holding PT Bumi Resources and Yancoal Australia in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Yancoal Australia 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 Yancoal Australia. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Yancoal Australia has no effect on the direction of PT Bumi i.e., PT Bumi and Yancoal Australia go up and down completely randomly.
Pair Corralation between PT Bumi and Yancoal Australia
Assuming the 90 days horizon PT Bumi Resources is expected to generate 2.14 times more return on investment than Yancoal Australia. However, PT Bumi is 2.14 times more volatile than Yancoal Australia. It trades about 0.03 of its potential returns per unit of risk. Yancoal Australia is currently generating about 0.04 per unit of risk. If you would invest 0.65 in PT Bumi Resources on November 29, 2024 and sell it today you would lose (0.10) from holding PT Bumi Resources or give up 15.38% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
PT Bumi Resources vs. Yancoal Australia
Performance |
| Timeline |
| PT Bumi Resources |
| Yancoal Australia |
PT Bumi and Yancoal Australia Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with PT Bumi and Yancoal Australia
The main advantage of trading using opposite PT Bumi and Yancoal Australia positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if PT Bumi position performs unexpectedly, Yancoal Australia 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 Yancoal Australia will offset losses from the drop in Yancoal Australia's long position.| PT Bumi vs. CHRYSALIS INVESTMENTS LTD | PT Bumi vs. MidCap Financial Investment | PT Bumi vs. De Grey Mining | PT Bumi vs. Marie Brizard Wine |
| Yancoal Australia vs. ARISTOCRAT LEISURE | Yancoal Australia vs. Moneysupermarket Group PLC | Yancoal Australia vs. PLAYSTUDIOS A DL 0001 | Yancoal Australia vs. BG Foods |
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 Pattern Recognition module to use different Pattern Recognition models to time the market across multiple global exchanges.
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