Correlation Between Bank Rakyat and Tigaraksa Satria

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

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

Diversification Opportunities for Bank Rakyat and Tigaraksa Satria

0.48

Correlation Coefficient

Bank Rakyat  Tigaraksa Satria

Very weak diversification

The 3 months correlation between Bank and Tigaraksa is 0.48. Overlapping area represents the amount of risk that can be diversified away by holding Bank Rakyat Indonesia and Tigaraksa Satria Tbk in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Tigaraksa Satria Tbk and Bank Rakyat 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 Rakyat Indonesia are associated (or correlated) with Tigaraksa Satria. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Tigaraksa Satria Tbk has no effect on the direction of Bank Rakyat i.e., Bank Rakyat and Tigaraksa Satria go up and down completely randomly.

Pair Corralation between Bank Rakyat and Tigaraksa Satria

Assuming the 90 days trading horizon Bank Rakyat is expected to generate 1.89 times less return on investment than Tigaraksa Satria. In addition to that, Bank Rakyat is 1.38 times more volatile than Tigaraksa Satria Tbk. It trades about 0.01 of its total potential returns per unit of risk. Tigaraksa Satria Tbk is currently generating about 0.02 per unit of volatility. If you would invest  600,000  in Tigaraksa Satria Tbk on December 28, 2024 and sell it today you would earn a total of  5,000  from holding Tigaraksa Satria Tbk or generate 0.83% return on investment over 90 days.

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

Bank Rakyat Indonesia  vs.  Tigaraksa Satria Tbk

Bank Rakyat Indonesia

Risk-Adjusted Performance

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 quite persistent forward-looking signals, Bank Rakyat is not utilizing all of its potentials. The latest stock price mess, may contribute to short-term losses for the institutional investors.

Tigaraksa Satria Tbk

Risk-Adjusted Performance

Weak

Compared to the overall equity markets, risk-adjusted returns on investments in Tigaraksa Satria Tbk are ranked lower than 1 (%) of all global equities and portfolios over the last 90 days. Despite quite persistent forward-looking signals, Tigaraksa Satria is not utilizing all of its potentials. The latest stock price mess, may contribute to short-term losses for the institutional investors.

Pair Trading with Bank Rakyat and Tigaraksa Satria

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

The idea behind Bank Rakyat Indonesia and Tigaraksa Satria 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 Instant Ratings module to determine any equity ratings based on digital recommendations. Macroaxis instant equity ratings are based on combination of fundamental analysis and risk-adjusted market performance.