Correlation Between Sido Muncul and Bank BRISyariah

Can any of the company-specific risk be diversified away by investing in both Sido Muncul and Bank BRISyariah 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 Sido Muncul and Bank BRISyariah into the same portfolio, which is an essential part of the fundamental portfolio management process.

By analyzing existing cross correlation between Sido Muncul PT and Bank BRISyariah Tbk, you can compare the effects of market volatilities on Sido Muncul and Bank BRISyariah 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 Sido Muncul with a short position of Bank BRISyariah. Check out your portfolio center. Please also check ongoing floating volatility patterns of Sido Muncul and Bank BRISyariah.

Diversification Opportunities for Sido Muncul and Bank BRISyariah

0.09

Correlation Coefficient

Sido Muncul  Bank BRISyariah

Significant diversification

The 3 months correlation between Sido and Bank is 0.09. Overlapping area represents the amount of risk that can be diversified away by holding Sido Muncul PT and Bank BRISyariah Tbk in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Bank BRISyariah Tbk and Sido Muncul 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 Sido Muncul PT are associated (or correlated) with Bank BRISyariah. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Bank BRISyariah Tbk has no effect on the direction of Sido Muncul i.e., Sido Muncul and Bank BRISyariah go up and down completely randomly.

Pair Corralation between Sido Muncul and Bank BRISyariah

Assuming the 90 days trading horizon Sido Muncul PT is expected to under-perform the Bank BRISyariah. But the stock apears to be less risky and, when comparing its historical volatility, Sido Muncul PT is 1.4 times less risky than Bank BRISyariah. The stock trades about -0.09 of its potential returns per unit of risk. The Bank BRISyariah Tbk is currently generating about 0.08 of returns per unit of risk over similar time horizon. If you would invest  261,000  in Bank BRISyariah Tbk on August 31, 2024 and sell it today you would earn a total of  30,000  from holding Bank BRISyariah Tbk or generate 11.49% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Together
Strength	Insignificant
Accuracy	100.0%
Values	Daily Returns

Sido Muncul PT  vs.  Bank BRISyariah Tbk

Sido Muncul PT

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Sido Muncul PT has generated negative risk-adjusted returns adding no value to investors with long positions. Despite latest conflicting performance, the Stock's forward-looking signals remain persistent and the latest mess on Wall Street may also be a sign of long-standing gains for the company institutional investors.

Bank BRISyariah Tbk

Risk-Adjusted Performance

6 of 100

Modest

Compared to the overall equity markets, risk-adjusted returns on investments in Bank BRISyariah Tbk are ranked lower than 6 (%) of all global equities and portfolios over the last 90 days. Despite quite conflicting forward-looking signals, Bank BRISyariah disclosed solid returns over the last few months and may actually be approaching a breakup point.

Pair Trading with Sido Muncul and Bank BRISyariah

The main advantage of trading using opposite Sido Muncul and Bank BRISyariah positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Sido Muncul position performs unexpectedly, Bank BRISyariah 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 BRISyariah will offset losses from the drop in Bank BRISyariah's long position.

The idea behind Sido Muncul PT and Bank BRISyariah Tbk pairs trading is to make the combined position market-neutral, meaning the overall market's direction will not affect its win or loss (or potential downside or upside). This can be achieved by designing a pairs trade with two highly correlated stocks or equities that operate in a similar space or sector, making it possible to obtain profits through simple and relatively low-risk investment.

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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 Fundamentals Comparison module to compare fundamentals across multiple equities to find investing opportunities.