Correlation Between Bank Woori and Bank JTrust
Can any of the company-specific risk be diversified away by investing in both Bank Woori and Bank JTrust 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 Woori and Bank JTrust into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Bank Woori Saudara and Bank JTrust Indonesia, you can compare the effects of market volatilities on Bank Woori and Bank JTrust 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 Woori with a short position of Bank JTrust. Check out your portfolio center. Please also check ongoing floating volatility patterns of Bank Woori and Bank JTrust.
Diversification Opportunities for Bank Woori and Bank JTrust
-0.34 | Correlation Coefficient |
Very good diversification
The 3 months correlation between Bank and Bank is -0.34. Overlapping area represents the amount of risk that can be diversified away by holding Bank Woori Saudara and Bank JTrust Indonesia in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Bank JTrust Indonesia and Bank Woori 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 Woori Saudara are associated (or correlated) with Bank JTrust. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Bank JTrust Indonesia has no effect on the direction of Bank Woori i.e., Bank Woori and Bank JTrust go up and down completely randomly.
Pair Corralation between Bank Woori and Bank JTrust
Assuming the 90 days trading horizon Bank Woori Saudara is expected to under-perform the Bank JTrust. But the stock apears to be less risky and, when comparing its historical volatility, Bank Woori Saudara is 4.29 times less risky than Bank JTrust. The stock trades about -0.44 of its potential returns per unit of risk. The Bank JTrust Indonesia is currently generating about -0.07 of returns per unit of risk over similar time horizon. If you would invest 19,000 in Bank JTrust Indonesia on August 27, 2024 and sell it today you would lose (1,400) from holding Bank JTrust Indonesia or give up 7.37% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Insignificant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Bank Woori Saudara vs. Bank JTrust Indonesia
Performance |
| Timeline |
| Bank Woori Saudara |
| Bank JTrust Indonesia |
Bank Woori and Bank JTrust Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Bank Woori and Bank JTrust
The main advantage of trading using opposite Bank Woori and Bank JTrust positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Bank Woori position performs unexpectedly, Bank JTrust 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 Bank JTrust will offset losses from the drop in Bank JTrust's long position.| Bank Woori vs. Bank Ocbc Nisp | Bank Woori vs. Bank Pan Indonesia | Bank Woori vs. Bank Mega Tbk | Bank Woori vs. Bank Mayapada Internasional |
| Bank JTrust vs. Bank Victoria International | Bank JTrust vs. Bank Maybank Indonesia | Bank JTrust vs. Bank Qnb Indonesia | Bank JTrust vs. Bank Bumi Arta |
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 Correlation Analysis module to reduce portfolio risk simply by holding instruments which are not perfectly correlated.
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