Correlation Between Bank Rakyat and Merdeka Copper
Can any of the company-specific risk be diversified away by investing in both Bank Rakyat and Merdeka Copper 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 Rakyat and Merdeka Copper into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Bank Rakyat Indonesia and Merdeka Copper Gold, you can compare the effects of market volatilities on Bank Rakyat and Merdeka Copper 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 Rakyat with a short position of Merdeka Copper. Check out your portfolio center. Please also check ongoing floating volatility patterns of Bank Rakyat and Merdeka Copper.
Diversification Opportunities for Bank Rakyat and Merdeka Copper
0.78 | Correlation Coefficient |
Poor diversification
The 3 months correlation between Bank and Merdeka is 0.78. Overlapping area represents the amount of risk that can be diversified away by holding Bank Rakyat Indonesia and Merdeka Copper Gold in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Merdeka Copper Gold and Bank Rakyat 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 Rakyat Indonesia are associated (or correlated) with Merdeka Copper. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Merdeka Copper Gold has no effect on the direction of Bank Rakyat i.e., Bank Rakyat and Merdeka Copper go up and down completely randomly.
Pair Corralation between Bank Rakyat and Merdeka Copper
Assuming the 90 days trading horizon Bank Rakyat Indonesia is expected to under-perform the Merdeka Copper. In addition to that, Bank Rakyat is 1.0 times more volatile than Merdeka Copper Gold. It trades about -0.12 of its total potential returns per unit of risk. Merdeka Copper Gold is currently generating about -0.11 per unit of volatility. If you would invest 230,000 in Merdeka Copper Gold on September 17, 2024 and sell it today you would lose (37,500) from holding Merdeka Copper Gold or give up 16.3% of portfolio value over 90 days.
Time Period | 3 Months [change] |
Direction | Moves Together |
Strength | Significant |
Accuracy | 100.0% |
Values | Daily Returns |
Bank Rakyat Indonesia vs. Merdeka Copper Gold
Performance |
Timeline |
Bank Rakyat Indonesia |
Merdeka Copper Gold |
Bank Rakyat and Merdeka Copper Volatility Contrast
Predicted Return Density |
Returns |
Pair Trading with Bank Rakyat and Merdeka Copper
The main advantage of trading using opposite Bank Rakyat and Merdeka Copper positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Bank Rakyat position performs unexpectedly, Merdeka Copper 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 Merdeka Copper will offset losses from the drop in Merdeka Copper's long position.Bank Rakyat vs. Paninvest Tbk | Bank Rakyat vs. Maskapai Reasuransi Indonesia | Bank Rakyat vs. Panin Sekuritas Tbk | Bank Rakyat vs. Wahana Ottomitra Multiartha |
Merdeka Copper vs. Kedaung Indah Can | Merdeka Copper vs. Kabelindo Murni Tbk | Merdeka Copper vs. Champion Pacific Indonesia | Merdeka Copper vs. Bhuwanatala Indah Permai |
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 Pair Correlation module to compare performance and examine fundamental relationship between any two equity instruments.
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