Correlation Between Bank Negara and Investec
Can any of the company-specific risk be diversified away by investing in both Bank Negara and Investec 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 Investec 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 Investec Group, you can compare the effects of market volatilities on Bank Negara and Investec 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 Investec. Check out your portfolio center. Please also check ongoing floating volatility patterns of Bank Negara and Investec.
Diversification Opportunities for Bank Negara and Investec
-0.52 | Correlation Coefficient |
Excellent diversification
The 3 months correlation between Bank and Investec is -0.52. Overlapping area represents the amount of risk that can be diversified away by holding Bank Negara Indonesia and Investec Group in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Investec Group 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 Investec. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Investec Group has no effect on the direction of Bank Negara i.e., Bank Negara and Investec go up and down completely randomly.
Pair Corralation between Bank Negara and Investec
Assuming the 90 days horizon Bank Negara Indonesia is expected to under-perform the Investec. In addition to that, Bank Negara is 7.93 times more volatile than Investec Group. It trades about -0.19 of its total potential returns per unit of risk. Investec Group is currently generating about 0.15 per unit of volatility. If you would invest 1,062 in Investec Group on September 22, 2024 and sell it today you would earn a total of 42.00 from holding Investec Group or generate 3.95% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Very Weak |
| Accuracy | 97.73% |
| Values | Daily Returns |
Bank Negara Indonesia vs. Investec Group
Performance |
| Timeline |
| Bank Negara Indonesia |
| Investec Group |
Bank Negara and Investec Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Bank Negara and Investec
The main advantage of trading using opposite Bank Negara and Investec positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Bank Negara position performs unexpectedly, Investec 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 Investec will offset losses from the drop in Investec's long position.| Bank Negara vs. Banco Bradesco SA | Bank Negara vs. Itau Unibanco Banco | Bank Negara vs. Lloyds Banking Group | Bank Negara vs. Deutsche Bank AG |
| Investec vs. Turning Point Brands | Investec vs. BCE Inc | Investec vs. Weibo Corp | Investec vs. Molson Coors Brewing |
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 Piotroski F Score module to get Piotroski F Score based on the binary analysis strategy of nine different fundamentals.
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