Correlation Between Bank BRISyariah and Paninvest Tbk

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

Diversification Opportunities for Bank BRISyariah and Paninvest Tbk

0.15

Correlation Coefficient

Bank BRISyariah  Paninvest Tbk

Average diversification

The 3 months correlation between Bank and Paninvest is 0.15. Overlapping area represents the amount of risk that can be diversified away by holding Bank BRISyariah Tbk and Paninvest Tbk in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Paninvest Tbk 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 Paninvest Tbk. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Paninvest Tbk has no effect on the direction of Bank BRISyariah i.e., Bank BRISyariah and Paninvest Tbk go up and down completely randomly.

Pair Corralation between Bank BRISyariah and Paninvest Tbk

Assuming the 90 days trading horizon Bank BRISyariah Tbk is expected to under-perform the Paninvest Tbk. But the stock apears to be less risky and, when comparing its historical volatility, Bank BRISyariah Tbk is 1.32 times less risky than Paninvest Tbk. The stock trades about -0.25 of its potential returns per unit of risk. The Paninvest Tbk is currently generating about -0.13 of returns per unit of risk over similar time horizon. If you would invest  110,500  in Paninvest Tbk on October 7, 2024 and sell it today you would lose (7,000) from holding Paninvest Tbk or give up 6.33% of portfolio value over 90 days.

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

Bank BRISyariah Tbk  vs.  Paninvest Tbk

Bank BRISyariah Tbk

Risk-Adjusted Performance

0 of 100

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

Paninvest Tbk

Risk-Adjusted Performance

1 of 100

Weak

Compared to the overall equity markets, risk-adjusted returns on investments in Paninvest Tbk are ranked lower than 1 (%) of all global equities and portfolios over the last 90 days. Despite quite persistent forward-looking signals, Paninvest Tbk 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 BRISyariah and Paninvest Tbk

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

The idea behind Bank BRISyariah Tbk and Paninvest 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 Equity Forecasting module to use basic forecasting models to generate price predictions and determine price momentum.