Correlation Between Swedbank and PT Bank
Can any of the company-specific risk be diversified away by investing in both Swedbank and PT Bank 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 Swedbank and PT Bank into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Swedbank AB and PT Bank Rakyat, you can compare the effects of market volatilities on Swedbank and PT Bank 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 Swedbank with a short position of PT Bank. Check out your portfolio center. Please also check ongoing floating volatility patterns of Swedbank and PT Bank.
Diversification Opportunities for Swedbank and PT Bank
Very weak diversification
The 3 months correlation between Swedbank and BKRKF is 0.59. Overlapping area represents the amount of risk that can be diversified away by holding Swedbank AB and PT Bank Rakyat in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on PT Bank Rakyat and Swedbank 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 Swedbank AB are associated (or correlated) with PT Bank. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of PT Bank Rakyat has no effect on the direction of Swedbank i.e., Swedbank and PT Bank go up and down completely randomly.
Pair Corralation between Swedbank and PT Bank
Assuming the 90 days horizon Swedbank is expected to generate 2.79 times less return on investment than PT Bank. But when comparing it to its historical volatility, Swedbank AB is 2.71 times less risky than PT Bank. It trades about 0.03 of its potential returns per unit of risk. PT Bank Rakyat is currently generating about 0.03 of returns per unit of risk over similar time horizon. If you would invest 26.00 in PT Bank Rakyat on September 12, 2024 and sell it today you would earn a total of 3.00 from holding PT Bank Rakyat or generate 11.54% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Weak |
| Accuracy | 92.03% |
| Values | Daily Returns |
Swedbank AB vs. PT Bank Rakyat
Performance |
| Timeline |
| Swedbank AB |
| PT Bank Rakyat |
Swedbank and PT Bank Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Swedbank and PT Bank
The main advantage of trading using opposite Swedbank and PT Bank positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Swedbank position performs unexpectedly, PT Bank 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 PT Bank will offset losses from the drop in PT Bank's long position.| Swedbank vs. PT Bank Rakyat | Swedbank vs. Morningstar Unconstrained Allocation | Swedbank vs. Bondbloxx ETF Trust | Swedbank vs. Spring Valley Acquisition |
| PT Bank vs. Morningstar Unconstrained Allocation | PT Bank vs. Bondbloxx ETF Trust | PT Bank vs. Spring Valley Acquisition | PT Bank vs. Bondbloxx ETF Trust |
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 Portfolio Optimization module to compute new portfolio that will generate highest expected return given your specified tolerance for risk.
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