Correlation Between PT Pelayaran and Bank Rakyat

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

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

Diversification Opportunities for PT Pelayaran and Bank Rakyat

0.69

Correlation Coefficient

PT Pelayaran  Bank Rakyat

Poor diversification

The 3 months correlation between TAMU and Bank is 0.69. Overlapping area represents the amount of risk that can be diversified away by holding PT Pelayaran Tamarin and Bank Rakyat Indonesia in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Bank Rakyat Indonesia and PT Pelayaran 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 Pelayaran Tamarin are associated (or correlated) with Bank Rakyat. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Bank Rakyat Indonesia has no effect on the direction of PT Pelayaran i.e., PT Pelayaran and Bank Rakyat go up and down completely randomly.

Pair Corralation between PT Pelayaran and Bank Rakyat

Assuming the 90 days trading horizon PT Pelayaran Tamarin is expected to under-perform the Bank Rakyat. In addition to that, PT Pelayaran is 3.33 times more volatile than Bank Rakyat Indonesia. It trades about -0.16 of its total potential returns per unit of risk. Bank Rakyat Indonesia is currently generating about -0.18 per unit of volatility. If you would invest  517,500  in Bank Rakyat Indonesia on September 3, 2024 and sell it today you would lose (91,500) from holding Bank Rakyat Indonesia or give up 17.68% of portfolio value over 90 days.

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

PT Pelayaran Tamarin  vs.  Bank Rakyat Indonesia

PT Pelayaran Tamarin

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days PT Pelayaran Tamarin has generated negative risk-adjusted returns adding no value to investors with long positions. Despite conflicting performance in the last few months, the Stock's forward-looking signals remain quite persistent which may send shares a bit higher in January 2025. The latest mess may also be a sign of long-standing up-swing for the company institutional investors.

Bank Rakyat Indonesia

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Bank Rakyat Indonesia has generated negative risk-adjusted returns adding no value to investors with long positions. Despite conflicting performance in the last few months, the Stock's forward-looking signals remain quite persistent which may send shares a bit higher in January 2025. The latest mess may also be a sign of long-standing up-swing for the company institutional investors.

Pair Trading with PT Pelayaran and Bank Rakyat

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

The idea behind PT Pelayaran Tamarin and Bank Rakyat Indonesia 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 Premium Stories module to follow Macroaxis premium stories from verified contributors across different equity types, categories and coverage scope.