Correlation Between Bank Negara and Yanaprima Hastapersada

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

Diversification Opportunities for Bank Negara and Yanaprima Hastapersada

-0.57

Correlation Coefficient

Bank Negara  Yanaprima Hastapersada

Excellent diversification

The 3 months correlation between Bank and Yanaprima is -0.57. Overlapping area represents the amount of risk that can be diversified away by holding Bank Negara Indonesia and Yanaprima Hastapersada Tbk in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Yanaprima Hastapersada 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 Yanaprima Hastapersada. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Yanaprima Hastapersada has no effect on the direction of Bank Negara i.e., Bank Negara and Yanaprima Hastapersada go up and down completely randomly.

Pair Corralation between Bank Negara and Yanaprima Hastapersada

Assuming the 90 days trading horizon Bank Negara Indonesia is expected to generate 1.8 times more return on investment than Yanaprima Hastapersada. However, Bank Negara is 1.8 times more volatile than Yanaprima Hastapersada Tbk. It trades about 0.03 of its potential returns per unit of risk. Yanaprima Hastapersada Tbk is currently generating about -0.04 per unit of risk. If you would invest  427,730  in Bank Negara Indonesia on October 26, 2024 and sell it today you would earn a total of  37,270  from holding Bank Negara Indonesia or generate 8.71% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Against
Strength	Very Weak
Accuracy	99.79%
Values	Daily Returns

Bank Negara Indonesia  vs.  Yanaprima Hastapersada Tbk

Bank Negara Indonesia

Risk-Adjusted Performance

0 of 100

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 February 2025. The latest mess may also be a sign of long-standing up-swing for the company institutional investors.

Yanaprima Hastapersada

Risk-Adjusted Performance

2 of 100

Weak

Compared to the overall equity markets, risk-adjusted returns on investments in Yanaprima Hastapersada Tbk are ranked lower than 2 (%) of all global equities and portfolios over the last 90 days. Despite quite conflicting forward-looking signals, Yanaprima Hastapersada may actually be approaching a critical reversion point that can send shares even higher in February 2025.

Pair Trading with Bank Negara and Yanaprima Hastapersada

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

The idea behind Bank Negara Indonesia and Yanaprima Hastapersada 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 Equity Search module to search for actively traded equities including funds and ETFs from over 30 global markets.