Correlation Between PT Bank and RPT Realty
Can any of the company-specific risk be diversified away by investing in both PT Bank and RPT Realty 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 RPT Realty 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 RPT Realty, you can compare the effects of market volatilities on PT Bank and RPT Realty 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 RPT Realty. Check out your portfolio center. Please also check ongoing floating volatility patterns of PT Bank and RPT Realty.
Diversification Opportunities for PT Bank and RPT Realty
-0.7 | Correlation Coefficient |
Excellent diversification
The 3 months correlation between BKRKF and RPT is -0.7. Overlapping area represents the amount of risk that can be diversified away by holding PT Bank Rakyat and RPT Realty in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on RPT Realty 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 RPT Realty. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of RPT Realty has no effect on the direction of PT Bank i.e., PT Bank and RPT Realty go up and down completely randomly.
Pair Corralation between PT Bank and RPT Realty
Assuming the 90 days horizon PT Bank Rakyat is expected to generate 2.88 times more return on investment than RPT Realty. However, PT Bank is 2.88 times more volatile than RPT Realty. It trades about 0.02 of its potential returns per unit of risk. RPT Realty is currently generating about 0.03 per unit of risk. If you would invest 26.00 in PT Bank Rakyat on September 3, 2024 and sell it today you would lose (2.00) from holding PT Bank Rakyat or give up 7.69% of portfolio value over 90 days.
Time Period | 3 Months [change] |
Direction | Moves Against |
Strength | Weak |
Accuracy | 37.78% |
Values | Daily Returns |
PT Bank Rakyat vs. RPT Realty
Performance |
Timeline |
PT Bank Rakyat |
RPT Realty |
Risk-Adjusted Performance
0 of 100
Weak | Strong |
Very Weak
PT Bank and RPT Realty Volatility Contrast
Predicted Return Density |
Returns |
Pair Trading with PT Bank and RPT Realty
The main advantage of trading using opposite PT Bank and RPT Realty positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if PT Bank position performs unexpectedly, RPT Realty 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 RPT Realty will offset losses from the drop in RPT Realty's long position.PT Bank vs. Bank Mandiri Persero | PT Bank vs. Piraeus Bank SA | PT Bank vs. Eurobank Ergasias Services | PT Bank vs. Kasikornbank Public Co |
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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 Portfolio File Import module to quickly import all of your third-party portfolios from your local drive in csv format.
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