Correlation Between Wijaya Karya and Bank Negara
Can any of the company-specific risk be diversified away by investing in both Wijaya Karya and Bank Negara 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 Wijaya Karya and Bank Negara into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Wijaya Karya Beton and Bank Negara Indonesia, you can compare the effects of market volatilities on Wijaya Karya and Bank Negara 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 Wijaya Karya with a short position of Bank Negara. Check out your portfolio center. Please also check ongoing floating volatility patterns of Wijaya Karya and Bank Negara.
Diversification Opportunities for Wijaya Karya and Bank Negara
0.72 | Correlation Coefficient |
Poor diversification
The 3 months correlation between Wijaya and Bank is 0.72. Overlapping area represents the amount of risk that can be diversified away by holding Wijaya Karya Beton and Bank Negara Indonesia in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Bank Negara Indonesia and Wijaya Karya 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 Wijaya Karya Beton are associated (or correlated) with Bank Negara. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Bank Negara Indonesia has no effect on the direction of Wijaya Karya i.e., Wijaya Karya and Bank Negara go up and down completely randomly.
Pair Corralation between Wijaya Karya and Bank Negara
Assuming the 90 days trading horizon Wijaya Karya Beton is expected to under-perform the Bank Negara. In addition to that, Wijaya Karya is 2.15 times more volatile than Bank Negara Indonesia. It trades about -0.19 of its total potential returns per unit of risk. Bank Negara Indonesia is currently generating about -0.24 per unit of volatility. If you would invest 550,000 in Bank Negara Indonesia on August 29, 2024 and sell it today you would lose (55,000) from holding Bank Negara Indonesia or give up 10.0% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Wijaya Karya Beton vs. Bank Negara Indonesia
Performance |
| Timeline |
| Wijaya Karya Beton |
| Bank Negara Indonesia |
Wijaya Karya and Bank Negara Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Wijaya Karya and Bank Negara
The main advantage of trading using opposite Wijaya Karya and Bank Negara positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Wijaya Karya position performs unexpectedly, Bank Negara 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 Negara will offset losses from the drop in Bank Negara's long position.| Wijaya Karya vs. Samudera Indonesia Tbk | Wijaya Karya vs. Pelayaran Nelly Dwi | Wijaya Karya vs. Buana Listya Tama | Wijaya Karya vs. Mitrabahtera Segara Sejati |
| Bank Negara vs. Bank Mandiri Persero | Bank Negara vs. Bank Rakyat Indonesia | Bank Negara vs. Bank Central Asia | Bank Negara vs. Astra International 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 Piotroski F Score module to get Piotroski F Score based on the binary analysis strategy of nine different fundamentals.
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