Correlation Between Bank Agris and Maskapai Reasuransi

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

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

Diversification Opportunities for Bank Agris and Maskapai Reasuransi

0.84

Correlation Coefficient

Bank Agris  Maskapai Reasuransi

Very poor diversification

The 3 months correlation between Bank and Maskapai is 0.84. Overlapping area represents the amount of risk that can be diversified away by holding Bank Agris Tbk and Maskapai Reasuransi Indonesia in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Maskapai Reasuransi and Bank Agris 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 Agris Tbk are associated (or correlated) with Maskapai Reasuransi. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Maskapai Reasuransi has no effect on the direction of Bank Agris i.e., Bank Agris and Maskapai Reasuransi go up and down completely randomly.

Pair Corralation between Bank Agris and Maskapai Reasuransi

Assuming the 90 days trading horizon Bank Agris Tbk is expected to under-perform the Maskapai Reasuransi. But the stock apears to be less risky and, when comparing its historical volatility, Bank Agris Tbk is 2.37 times less risky than Maskapai Reasuransi. The stock trades about -0.18 of its potential returns per unit of risk. The Maskapai Reasuransi Indonesia is currently generating about -0.04 of returns per unit of risk over similar time horizon. If you would invest  86,000  in Maskapai Reasuransi Indonesia on December 23, 2024 and sell it today you would lose (13,500) from holding Maskapai Reasuransi Indonesia or give up 15.7% of portfolio value over 90 days.

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

Bank Agris Tbk  vs.  Maskapai Reasuransi Indonesia

Bank Agris Tbk

Risk-Adjusted Performance

Very Weak

Over the last 90 days Bank Agris Tbk 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 April 2025. The latest mess may also be a sign of long-standing up-swing for the company institutional investors.

Maskapai Reasuransi

Risk-Adjusted Performance

Very Weak

Over the last 90 days Maskapai Reasuransi Indonesia 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.

Pair Trading with Bank Agris and Maskapai Reasuransi

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

The idea behind Bank Agris Tbk and Maskapai Reasuransi 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 Money Flow Index module to determine momentum by analyzing Money Flow Index and other technical indicators.