Correlation Between Unilever Indonesia and Bank Rakyat
Can any of the company-specific risk be diversified away by investing in both Unilever Indonesia and Bank Rakyat 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 Unilever Indonesia and Bank Rakyat into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Unilever Indonesia Tbk and Bank Rakyat Indonesia, you can compare the effects of market volatilities on Unilever Indonesia and Bank Rakyat 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 Unilever Indonesia with a short position of Bank Rakyat. Check out your portfolio center. Please also check ongoing floating volatility patterns of Unilever Indonesia and Bank Rakyat.
Diversification Opportunities for Unilever Indonesia and Bank Rakyat
0.78 | Correlation Coefficient |
Poor diversification
The 3 months correlation between Unilever and Bank is 0.78. Overlapping area represents the amount of risk that can be diversified away by holding Unilever Indonesia Tbk and Bank Rakyat Indonesia in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Bank Rakyat Indonesia and Unilever Indonesia 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 Unilever Indonesia Tbk are associated (or correlated) with Bank Rakyat. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Bank Rakyat Indonesia has no effect on the direction of Unilever Indonesia i.e., Unilever Indonesia and Bank Rakyat go up and down completely randomly.
Pair Corralation between Unilever Indonesia and Bank Rakyat
Assuming the 90 days trading horizon Unilever Indonesia Tbk is expected to under-perform the Bank Rakyat. In addition to that, Unilever Indonesia is 1.66 times more volatile than Bank Rakyat Indonesia. It trades about -0.12 of its total potential returns per unit of risk. Bank Rakyat Indonesia is currently generating about -0.16 per unit of volatility. If you would invest 476,000 in Bank Rakyat Indonesia on August 27, 2024 and sell it today you would lose (27,000) from holding Bank Rakyat Indonesia or give up 5.67% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Unilever Indonesia Tbk vs. Bank Rakyat Indonesia
Performance |
| Timeline |
| Unilever Indonesia Tbk |
| Bank Rakyat Indonesia |
Unilever Indonesia and Bank Rakyat Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Unilever Indonesia and Bank Rakyat
The main advantage of trading using opposite Unilever Indonesia and Bank Rakyat positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Unilever Indonesia position performs unexpectedly, Bank Rakyat 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 Rakyat will offset losses from the drop in Bank Rakyat's long position.| Unilever Indonesia vs. PT Indofood Sukses | Unilever Indonesia vs. Astra International Tbk | Unilever Indonesia vs. Telkom Indonesia Tbk | Unilever Indonesia vs. Bank Central Asia |
| Bank Rakyat vs. Bank Central Asia | Bank Rakyat vs. Bank Mandiri Persero | Bank Rakyat vs. Bank Negara Indonesia | Bank Rakyat vs. Telkom Indonesia Tbk |
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 Money Managers module to screen money managers from public funds and ETFs managed around the world.
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