Correlation Between PT Bank and Genfit SA
Can any of the company-specific risk be diversified away by investing in both PT Bank and Genfit 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 Genfit SA into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between PT Bank Mandiri and Genfit SA, you can compare the effects of market volatilities on PT Bank and Genfit 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 Genfit SA. Check out your portfolio center. Please also check ongoing floating volatility patterns of PT Bank and Genfit SA.
Diversification Opportunities for PT Bank and Genfit SA
Poor diversification
The 3 months correlation between PQ9 and Genfit is 0.62. Overlapping area represents the amount of risk that can be diversified away by holding PT Bank Mandiri and Genfit SA in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Genfit 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 Mandiri are associated (or correlated) with Genfit SA. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Genfit SA has no effect on the direction of PT Bank i.e., PT Bank and Genfit SA go up and down completely randomly.
Pair Corralation between PT Bank and Genfit SA
Assuming the 90 days horizon PT Bank is expected to generate 1.62 times less return on investment than Genfit SA. But when comparing it to its historical volatility, PT Bank Mandiri is 1.69 times less risky than Genfit SA. It trades about 0.03 of its potential returns per unit of risk. Genfit SA is currently generating about 0.03 of returns per unit of risk over similar time horizon. If you would invest 395.00 in Genfit SA on September 20, 2024 and sell it today you would lose (48.00) from holding Genfit SA or give up 12.15% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 99.8% |
| Values | Daily Returns |
PT Bank Mandiri vs. Genfit SA
Performance |
| Timeline |
| PT Bank Mandiri |
| Genfit SA |
PT Bank and Genfit SA Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with PT Bank and Genfit SA
The main advantage of trading using opposite PT Bank and Genfit SA positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if PT Bank position performs unexpectedly, Genfit 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 Genfit SA will offset losses from the drop in Genfit SA's long position.| PT Bank vs. Singapore Reinsurance | PT Bank vs. Safety Insurance Group | PT Bank vs. United Insurance Holdings | PT Bank vs. Siamgas And Petrochemicals |
| Genfit SA vs. BORR DRILLING NEW | Genfit SA vs. Brockhaus Capital Management | Genfit SA vs. FIREWEED METALS P | Genfit SA vs. Major Drilling Group |
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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