Correlation Between Bank Negara and Holcim
Can any of the company-specific risk be diversified away by investing in both Bank Negara and Holcim 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 Bank Negara and Holcim into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Bank Negara Indonesia and Holcim, you can compare the effects of market volatilities on Bank Negara and Holcim 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 Bank Negara with a short position of Holcim. Check out your portfolio center. Please also check ongoing floating volatility patterns of Bank Negara and Holcim.
Diversification Opportunities for Bank Negara and Holcim
-0.47 | Correlation Coefficient |
Very good diversification
The 3 months correlation between Bank and Holcim is -0.47. Overlapping area represents the amount of risk that can be diversified away by holding Bank Negara Indonesia and Holcim in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Holcim and Bank Negara 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 Bank Negara Indonesia are associated (or correlated) with Holcim. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Holcim has no effect on the direction of Bank Negara i.e., Bank Negara and Holcim go up and down completely randomly.
Pair Corralation between Bank Negara and Holcim
Assuming the 90 days horizon Bank Negara Indonesia is expected to generate 3.51 times more return on investment than Holcim. However, Bank Negara is 3.51 times more volatile than Holcim. It trades about 0.03 of its potential returns per unit of risk. Holcim is currently generating about 0.1 per unit of risk. If you would invest 1,490 in Bank Negara Indonesia on September 2, 2024 and sell it today you would earn a total of 55.00 from holding Bank Negara Indonesia or generate 3.69% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Very Weak |
| Accuracy | 83.06% |
| Values | Daily Returns |
Bank Negara Indonesia vs. Holcim
Performance |
| Timeline |
| Bank Negara Indonesia |
| Holcim |
Bank Negara and Holcim Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Bank Negara and Holcim
The main advantage of trading using opposite Bank Negara and Holcim positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Bank Negara position performs unexpectedly, Holcim 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 Holcim will offset losses from the drop in Holcim's long position.| Bank Negara vs. Piraeus Bank SA | Bank Negara vs. Turkiye Garanti Bankasi | Bank Negara vs. Uwharrie Capital Corp |
| Holcim vs. HeidelbergCement AG ADR | Holcim vs. Anhui Conch Cement | Holcim vs. Buzzi Unicem SpA | Holcim vs. Wienerberger Baustoffindustrie |
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 Equity Analysis module to research over 250,000 global equities including funds, stocks and ETFs to find investment opportunities.
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