Correlation Between PT Bank and Bank Negara
Can any of the company-specific risk be diversified away by investing in both PT Bank 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 PT Bank and Bank Negara into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between PT Bank Rakyat and Bank Negara Indonesia, you can compare the effects of market volatilities on PT Bank 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 PT Bank with a short position of Bank Negara. Check out your portfolio center. Please also check ongoing floating volatility patterns of PT Bank and Bank Negara.
Diversification Opportunities for PT Bank and Bank Negara
0.73 | Correlation Coefficient |
Poor diversification
The 3 months correlation between BKRKF and Bank is 0.73. Overlapping area represents the amount of risk that can be diversified away by holding PT Bank Rakyat 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 PT Bank 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 PT Bank Rakyat 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 PT Bank i.e., PT Bank and Bank Negara go up and down completely randomly.
Pair Corralation between PT Bank and Bank Negara
Assuming the 90 days horizon PT Bank Rakyat is expected to generate 1.21 times more return on investment than Bank Negara. However, PT Bank is 1.21 times more volatile than Bank Negara Indonesia. It trades about -0.03 of its potential returns per unit of risk. Bank Negara Indonesia is currently generating about -0.03 per unit of risk. If you would invest 32.00 in PT Bank Rakyat on September 15, 2024 and sell it today you would lose (6.00) from holding PT Bank Rakyat or give up 18.75% of portfolio value over 90 days.
Time Period | 3 Months [change] |
Direction | Moves Together |
Strength | Significant |
Accuracy | 100.0% |
Values | Daily Returns |
PT Bank Rakyat vs. Bank Negara Indonesia
Performance |
Timeline |
PT Bank Rakyat |
Bank Negara Indonesia |
PT Bank and Bank Negara Volatility Contrast
Predicted Return Density |
Returns |
Pair Trading with PT Bank and Bank Negara
The main advantage of trading using opposite PT Bank and Bank Negara positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if PT Bank 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.PT Bank vs. Bank Mandiri Persero | PT Bank vs. Piraeus Bank SA | PT Bank vs. Eurobank Ergasias Services | PT Bank vs. Kasikornbank Public Co |
Bank Negara vs. PT Bank Rakyat | Bank Negara vs. Morningstar Unconstrained Allocation | Bank Negara vs. Bondbloxx ETF Trust | Bank Negara vs. Spring Valley Acquisition |
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 Funds Screener module to find actively-traded funds from around the world traded on over 30 global exchanges.
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