Correlation Between Yanzhou Coal and PT Bumi
Can any of the company-specific risk be diversified away by investing in both Yanzhou Coal and PT Bumi 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 Yanzhou Coal and PT Bumi into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Yanzhou Coal Mining and PT Bumi Resources, you can compare the effects of market volatilities on Yanzhou Coal and PT Bumi 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 Yanzhou Coal with a short position of PT Bumi. Check out your portfolio center. Please also check ongoing floating volatility patterns of Yanzhou Coal and PT Bumi.
Diversification Opportunities for Yanzhou Coal and PT Bumi
0.58 | Correlation Coefficient |
Very weak diversification
The 3 months correlation between Yanzhou and PBMRF is 0.58. Overlapping area represents the amount of risk that can be diversified away by holding Yanzhou Coal Mining and PT Bumi Resources in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on PT Bumi Resources and Yanzhou Coal 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 Yanzhou Coal Mining are associated (or correlated) with PT Bumi. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of PT Bumi Resources has no effect on the direction of Yanzhou Coal i.e., Yanzhou Coal and PT Bumi go up and down completely randomly.
Pair Corralation between Yanzhou Coal and PT Bumi
Assuming the 90 days horizon Yanzhou Coal Mining is expected to under-perform the PT Bumi. But the otc stock apears to be less risky and, when comparing its historical volatility, Yanzhou Coal Mining is 10.0 times less risky than PT Bumi. The otc stock trades about -0.17 of its potential returns per unit of risk. The PT Bumi Resources is currently generating about 0.06 of returns per unit of risk over similar time horizon. If you would invest 0.60 in PT Bumi Resources on November 1, 2024 and sell it today you would lose (0.09) from holding PT Bumi Resources or give up 15.0% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
Yanzhou Coal Mining vs. PT Bumi Resources
Performance |
| Timeline |
| Yanzhou Coal Mining |
| PT Bumi Resources |
Yanzhou Coal and PT Bumi Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Yanzhou Coal and PT Bumi
The main advantage of trading using opposite Yanzhou Coal and PT Bumi positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Yanzhou Coal position performs unexpectedly, PT Bumi 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 Bumi will offset losses from the drop in PT Bumi's long position.| Yanzhou Coal vs. Indo Tambangraya Megah | Yanzhou Coal vs. Bukit Asam Tbk | Yanzhou Coal vs. Geo Energy Resources | Yanzhou Coal vs. Yancoal Australia |
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 Commodity Directory module to find actively traded commodities issued by global exchanges.
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