Correlation Between PT Bumi and Yanzhou Coal
Can any of the company-specific risk be diversified away by investing in both PT Bumi and Yanzhou Coal 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 Yanzhou Coal 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 Yanzhou Coal Mining, you can compare the effects of market volatilities on PT Bumi and Yanzhou Coal 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 Yanzhou Coal. Check out your portfolio center. Please also check ongoing floating volatility patterns of PT Bumi and Yanzhou Coal.
Diversification Opportunities for PT Bumi and Yanzhou Coal
0.75 | Correlation Coefficient |
Poor diversification
The 3 months correlation between PJM and Yanzhou is 0.75. Overlapping area represents the amount of risk that can be diversified away by holding PT Bumi Resources and Yanzhou Coal Mining in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Yanzhou Coal Mining 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 Yanzhou Coal. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Yanzhou Coal Mining has no effect on the direction of PT Bumi i.e., PT Bumi and Yanzhou Coal go up and down completely randomly.
Pair Corralation between PT Bumi and Yanzhou Coal
Assuming the 90 days horizon PT Bumi Resources is expected to generate 3.58 times more return on investment than Yanzhou Coal. However, PT Bumi is 3.58 times more volatile than Yanzhou Coal Mining. It trades about 0.07 of its potential returns per unit of risk. Yanzhou Coal Mining is currently generating about -0.23 per unit of risk. If you would invest 0.75 in PT Bumi Resources on September 5, 2024 and sell it today you would earn a total of 0.05 from holding PT Bumi Resources or generate 6.67% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
PT Bumi Resources vs. Yanzhou Coal Mining
Performance |
| Timeline |
| PT Bumi Resources |
| Yanzhou Coal Mining |
PT Bumi and Yanzhou Coal Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with PT Bumi and Yanzhou Coal
The main advantage of trading using opposite PT Bumi and Yanzhou Coal positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if PT Bumi position performs unexpectedly, Yanzhou Coal 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 Yanzhou Coal will offset losses from the drop in Yanzhou Coal's long position.| PT Bumi vs. IMPERIAL TOBACCO | PT Bumi vs. Perdoceo Education | PT Bumi vs. IDP EDUCATION LTD | PT Bumi vs. American Public Education |
| Yanzhou Coal vs. PT Bayan Resources | Yanzhou Coal vs. Yanzhou Coal Mining | Yanzhou Coal vs. PT Adaro Energy | Yanzhou Coal vs. PT Bumi Resources |
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 Sign In To Macroaxis module to sign in to explore Macroaxis' wealth optimization platform and fintech modules.
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