Correlation Between Bank BRISyariah and Citra Putra

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

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

Diversification Opportunities for Bank BRISyariah and Citra Putra

0.57

Correlation Coefficient

Bank BRISyariah  Citra Putra

Very weak diversification

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

Pair Corralation between Bank BRISyariah and Citra Putra

Assuming the 90 days trading horizon Bank BRISyariah Tbk is expected to under-perform the Citra Putra. But the stock apears to be less risky and, when comparing its historical volatility, Bank BRISyariah Tbk is 1.19 times less risky than Citra Putra. The stock trades about -0.23 of its potential returns per unit of risk. The Citra Putra Realty is currently generating about 0.4 of returns per unit of risk over similar time horizon. If you would invest  47,200  in Citra Putra Realty on December 2, 2024 and sell it today you would earn a total of  14,800  from holding Citra Putra Realty or generate 31.36% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Together
Strength	Weak
Accuracy	95.45%
Values	Daily Returns

Bank BRISyariah Tbk  vs.  Citra Putra Realty

Bank BRISyariah Tbk

Risk-Adjusted Performance

Very Weak

Over the last 90 days Bank BRISyariah Tbk has generated negative risk-adjusted returns adding no value to investors with long positions. Despite latest conflicting performance, the Stock's forward-looking signals remain persistent and the latest mess on Wall Street may also be a sign of long-standing gains for the company institutional investors.

Citra Putra Realty

Risk-Adjusted Performance

Very Strong

Compared to the overall equity markets, risk-adjusted returns on investments in Citra Putra Realty are ranked lower than 32 (%) of all global equities and portfolios over the last 90 days. Despite quite conflicting forward-looking signals, Citra Putra disclosed solid returns over the last few months and may actually be approaching a breakup point.

Pair Trading with Bank BRISyariah and Citra Putra

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

The idea behind Bank BRISyariah Tbk and Citra Putra Realty 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 Idea Breakdown module to analyze constituents of all Macroaxis ideas. Macroaxis investment ideas are predefined, sector-focused investing themes.