Correlation Between PT Bank and AmTrust Financial

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Can any of the company-specific risk be diversified away by investing in both PT Bank and AmTrust Financial 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 PT Bank and AmTrust Financial into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between PT Bank Rakyat and AmTrust Financial Services, you can compare the effects of market volatilities on PT Bank and AmTrust Financial 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 PT Bank with a short position of AmTrust Financial. Check out your portfolio center. Please also check ongoing floating volatility patterns of PT Bank and AmTrust Financial.

Diversification Opportunities for PT Bank and AmTrust Financial

BKRKFAmTrustDiversified AwayBKRKFAmTrustDiversified Away100%
0.12
  Correlation Coefficient

Average diversification

The 3 months correlation between BKRKF and AmTrust is 0.12. Overlapping area represents the amount of risk that can be diversified away by holding PT Bank Rakyat and AmTrust Financial Services in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on AmTrust Financial and PT Bank 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 PT Bank Rakyat are associated (or correlated) with AmTrust Financial. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of AmTrust Financial has no effect on the direction of PT Bank i.e., PT Bank and AmTrust Financial go up and down completely randomly.

Pair Corralation between PT Bank and AmTrust Financial

Assuming the 90 days horizon PT Bank Rakyat is expected to generate 4.78 times more return on investment than AmTrust Financial. However, PT Bank is 4.78 times more volatile than AmTrust Financial Services. It trades about 0.06 of its potential returns per unit of risk. AmTrust Financial Services is currently generating about 0.0 per unit of risk. If you would invest  23.00  in PT Bank Rakyat on November 21, 2024 and sell it today you would earn a total of  1.00  from holding PT Bank Rakyat or generate 4.35% return on investment over 90 days.
Time Period3 Months [change]
DirectionMoves Together 
StrengthInsignificant
Accuracy83.05%
ValuesDaily Returns

PT Bank Rakyat  vs.  AmTrust Financial Services

 Performance 
JavaScript chart by amCharts 3.21.15Dec2025Feb -30-20-100
JavaScript chart by amCharts 3.21.15BKRKF AFSIP
       Timeline  
PT Bank Rakyat 

Risk-Adjusted Performance

Insignificant

 
Weak
 
Strong
Compared to the overall equity markets, risk-adjusted returns on investments in PT Bank Rakyat are ranked lower than 4 (%) of all global equities and portfolios over the last 90 days. Despite nearly unsteady forward-looking signals, PT Bank reported solid returns over the last few months and may actually be approaching a breakup point.
JavaScript chart by amCharts 3.21.15NovDecJanFebDecJanFeb0.20.220.240.260.280.3
AmTrust Financial 

Risk-Adjusted Performance

Very Weak

 
Weak
 
Strong
Over the last 90 days AmTrust Financial Services has generated negative risk-adjusted returns adding no value to investors with long positions. Even with relatively invariable forward indicators, AmTrust Financial is not utilizing all of its potentials. The recent stock price agitation, may contribute to short-term losses for the retail investors.
JavaScript chart by amCharts 3.21.15DecJanFebJanFeb13.81414.214.414.614.815

PT Bank and AmTrust Financial Volatility Contrast

   Predicted Return Density   
JavaScript chart by amCharts 3.21.15-31.4-23.51-15.63-7.750.137.9515.9123.8631.82 0.020.040.060.08
JavaScript chart by amCharts 3.21.15BKRKF AFSIP
       Returns  

Pair Trading with PT Bank and AmTrust Financial

The main advantage of trading using opposite PT Bank and AmTrust Financial positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if PT Bank position performs unexpectedly, AmTrust Financial 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 AmTrust Financial will offset losses from the drop in AmTrust Financial's long position.
The idea behind PT Bank Rakyat and AmTrust Financial Services 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 Options Analysis module to analyze and evaluate options and option chains as a potential hedge for your portfolios.

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