Correlation Between PT Bank and SAN MIGUEL

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

Diversification Opportunities for PT Bank and SAN MIGUEL

0.63

Correlation Coefficient

PT Bank  SAN MIGUEL

Poor diversification

The 3 months correlation between BYRA and SAN is 0.63. Overlapping area represents the amount of risk that can be diversified away by holding PT Bank Rakyat and SAN MIGUEL BREWERY in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on SAN MIGUEL BREWERY 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 SAN MIGUEL. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of SAN MIGUEL BREWERY has no effect on the direction of PT Bank i.e., PT Bank and SAN MIGUEL go up and down completely randomly.

Pair Corralation between PT Bank and SAN MIGUEL

Assuming the 90 days trading horizon PT Bank Rakyat is expected to under-perform the SAN MIGUEL. In addition to that, PT Bank is 2.01 times more volatile than SAN MIGUEL BREWERY. It trades about -0.1 of its total potential returns per unit of risk. SAN MIGUEL BREWERY is currently generating about 0.02 per unit of volatility. If you would invest  10.00  in SAN MIGUEL BREWERY on October 9, 2024 and sell it today you would earn a total of  0.00  from holding SAN MIGUEL BREWERY or generate 0.0% return on investment over 90 days.

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

PT Bank Rakyat  vs.  SAN MIGUEL BREWERY

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 latest fragile performance, the Stock's basic indicators remain stable and the current disturbance on Wall Street may also be a sign of long-run gains for the company stockholders.

SAN MIGUEL BREWERY

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days SAN MIGUEL BREWERY has generated negative risk-adjusted returns adding no value to investors with long positions. In spite of uncertain performance in the last few months, the Stock's basic indicators remain rather sound which may send shares a bit higher in February 2025. The latest tumult may also be a sign of longer-term up-swing for the firm shareholders.

Pair Trading with PT Bank and SAN MIGUEL

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

The idea behind PT Bank Rakyat and SAN MIGUEL BREWERY 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 Performance Analysis module to check effects of mean-variance optimization against your current asset allocation.