Correlation Between Bank Negara and Samindo Resources

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

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

Diversification Opportunities for Bank Negara and Samindo Resources

0.16

Correlation Coefficient

Bank Negara  Samindo Resources

Average diversification

The 3 months correlation between Bank and Samindo is 0.16. Overlapping area represents the amount of risk that can be diversified away by holding Bank Negara Indonesia and Samindo Resources Tbk in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Samindo Resources Tbk and Bank Negara 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 Negara Indonesia are associated (or correlated) with Samindo Resources. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Samindo Resources Tbk has no effect on the direction of Bank Negara i.e., Bank Negara and Samindo Resources go up and down completely randomly.

Pair Corralation between Bank Negara and Samindo Resources

Assuming the 90 days trading horizon Bank Negara Indonesia is expected to under-perform the Samindo Resources. In addition to that, Bank Negara is 1.02 times more volatile than Samindo Resources Tbk. It trades about -0.08 of its total potential returns per unit of risk. Samindo Resources Tbk is currently generating about 0.06 per unit of volatility. If you would invest  168,000  in Samindo Resources Tbk on December 2, 2024 and sell it today you would earn a total of  12,000  from holding Samindo Resources Tbk or generate 7.14% return on investment over 90 days.

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

Bank Negara Indonesia  vs.  Samindo Resources Tbk

Bank Negara Indonesia

Risk-Adjusted Performance

Very Weak

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

Samindo Resources Tbk

Risk-Adjusted Performance

Insignificant

Compared to the overall equity markets, risk-adjusted returns on investments in Samindo Resources Tbk are ranked lower than 4 (%) of all global equities and portfolios over the last 90 days. Despite quite conflicting forward-looking signals, Samindo Resources may actually be approaching a critical reversion point that can send shares even higher in April 2025.

Pair Trading with Bank Negara and Samindo Resources

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

The idea behind Bank Negara Indonesia and Samindo Resources 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 Insider Screener module to find insiders across different sectors to evaluate their impact on performance.