Correlation Between JSC Halyk and PT Bank

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

By analyzing existing cross correlation between JSC Halyk bank and PT Bank Maybank, you can compare the effects of market volatilities on JSC Halyk and PT Bank 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 JSC Halyk with a short position of PT Bank. Check out your portfolio center. Please also check ongoing floating volatility patterns of JSC Halyk and PT Bank.

Diversification Opportunities for JSC Halyk and PT Bank

-0.34

Correlation Coefficient

JSC Halyk  PT Bank

Very good diversification

The 3 months correlation between JSC and BOZA is -0.34. Overlapping area represents the amount of risk that can be diversified away by holding JSC Halyk bank and PT Bank Maybank in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on PT Bank Maybank and JSC Halyk 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 JSC Halyk bank are associated (or correlated) with PT Bank. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of PT Bank Maybank has no effect on the direction of JSC Halyk i.e., JSC Halyk and PT Bank go up and down completely randomly.

Pair Corralation between JSC Halyk and PT Bank

Assuming the 90 days trading horizon JSC Halyk bank is expected to generate 0.93 times more return on investment than PT Bank. However, JSC Halyk bank is 1.07 times less risky than PT Bank. It trades about 0.07 of its potential returns per unit of risk. PT Bank Maybank is currently generating about 0.01 per unit of risk. If you would invest  1,476  in JSC Halyk bank on September 17, 2024 and sell it today you would earn a total of  194.00  from holding JSC Halyk bank or generate 13.14% return on investment over 90 days.

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

JSC Halyk bank  vs.  PT Bank Maybank

JSC Halyk bank

Risk-Adjusted Performance

5 of 100

Modest

Compared to the overall equity markets, risk-adjusted returns on investments in JSC Halyk bank are ranked lower than 5 (%) of all global equities and portfolios over the last 90 days. Despite nearly fragile essential indicators, JSC Halyk reported solid returns over the last few months and may actually be approaching a breakup point.

PT Bank Maybank

Risk-Adjusted Performance

0 of 100

Very Weak

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

Pair Trading with JSC Halyk and PT Bank

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

The idea behind JSC Halyk bank and PT Bank Maybank 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 Commodity Channel module to use Commodity Channel Index to analyze current equity momentum.