Correlation Between Bank Negara and Singaraja Putra

Can any of the company-specific risk be diversified away by investing in both Bank Negara and Singaraja Putra 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 Singaraja Putra 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 Singaraja Putra, you can compare the effects of market volatilities on Bank Negara and Singaraja Putra 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 Singaraja Putra. Check out your portfolio center. Please also check ongoing floating volatility patterns of Bank Negara and Singaraja Putra.

Diversification Opportunities for Bank Negara and Singaraja Putra

0.3

Correlation Coefficient

Bank Negara  Singaraja Putra

Weak diversification

The 3 months correlation between Bank and Singaraja is 0.3. Overlapping area represents the amount of risk that can be diversified away by holding Bank Negara Indonesia and Singaraja Putra in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Singaraja Putra 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 Singaraja Putra. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Singaraja Putra has no effect on the direction of Bank Negara i.e., Bank Negara and Singaraja Putra go up and down completely randomly.

Pair Corralation between Bank Negara and Singaraja Putra

Assuming the 90 days trading horizon Bank Negara Indonesia is expected to generate 0.45 times more return on investment than Singaraja Putra. However, Bank Negara Indonesia is 2.24 times less risky than Singaraja Putra. It trades about -0.08 of its potential returns per unit of risk. Singaraja Putra is currently generating about -0.11 per unit of risk. If you would invest  471,000  in Bank Negara Indonesia on December 1, 2024 and sell it today you would lose (67,000) from holding Bank Negara Indonesia or give up 14.23% of portfolio value over 90 days.

Time Period	3 Months [change]
Direction	Moves Together
Strength	Very Weak
Accuracy	98.31%
Values	Daily Returns

Bank Negara Indonesia  vs.  Singaraja Putra

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.

Singaraja Putra

Risk-Adjusted Performance

Very Weak

Over the last 90 days Singaraja Putra 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.

Pair Trading with Bank Negara and Singaraja Putra

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

The idea behind Bank Negara Indonesia and Singaraja Putra 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 Transaction History module to view history of all your transactions and understand their impact on performance.