Correlation Between PT Bank and Engie SA

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

Diversification Opportunities for PT Bank and Engie SA

0.76

Correlation Coefficient

PT Bank  Engie SA

Poor diversification

The 3 months correlation between BKRKF and Engie is 0.76. Overlapping area represents the amount of risk that can be diversified away by holding PT Bank Rakyat and Engie SA in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Engie SA 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 Engie SA. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Engie SA has no effect on the direction of PT Bank i.e., PT Bank and Engie SA go up and down completely randomly.

Pair Corralation between PT Bank and Engie SA

Assuming the 90 days horizon PT Bank Rakyat is expected to under-perform the Engie SA. In addition to that, PT Bank is 2.23 times more volatile than Engie SA. It trades about -0.07 of its total potential returns per unit of risk. Engie SA is currently generating about -0.04 per unit of volatility. If you would invest  1,724  in Engie SA on September 4, 2024 and sell it today you would lose (124.00) from holding Engie SA or give up 7.19% of portfolio value over 90 days.

Time Period	3 Months [change]
Direction	Moves Together
Strength	Significant
Accuracy	98.44%
Values	Daily Returns

PT Bank Rakyat  vs.  Engie SA

PT Bank Rakyat

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days PT Bank Rakyat has generated negative risk-adjusted returns adding no value to investors with long positions. Despite weak performance in the last few months, the Stock's forward-looking signals remain nearly stable which may send shares a bit higher in January 2025. The current disturbance may also be a sign of long-run up-swing for the company stockholders.

Engie SA

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Engie SA has generated negative risk-adjusted returns adding no value to investors with long positions. Despite nearly stable basic indicators, Engie SA is not utilizing all of its potentials. The latest stock price disturbance, may contribute to mid-run losses for the stockholders.

Pair Trading with PT Bank and Engie SA

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

The idea behind PT Bank Rakyat and Engie SA 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.

Check out your portfolio center.

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 Sign In To Macroaxis module to sign in to explore Macroaxis' wealth optimization platform and fintech modules.