Correlation Between Jasa Marga and Bank Negara

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

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

Diversification Opportunities for Jasa Marga and Bank Negara

0.83

Correlation Coefficient

Jasa Marga  Bank Negara

Very poor diversification

The 3 months correlation between Jasa and Bank is 0.83. Overlapping area represents the amount of risk that can be diversified away by holding Jasa Marga Tbk and Bank Negara Indonesia in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Bank Negara Indonesia and Jasa Marga 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 Jasa Marga Tbk are associated (or correlated) with Bank Negara. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Bank Negara Indonesia has no effect on the direction of Jasa Marga i.e., Jasa Marga and Bank Negara go up and down completely randomly.

Pair Corralation between Jasa Marga and Bank Negara

Assuming the 90 days trading horizon Jasa Marga is expected to generate 1.46 times less return on investment than Bank Negara. But when comparing it to its historical volatility, Jasa Marga Tbk is 3.01 times less risky than Bank Negara. It trades about 0.06 of its potential returns per unit of risk. Bank Negara Indonesia is currently generating about 0.03 of returns per unit of risk over similar time horizon. If you would invest  426,587  in Bank Negara Indonesia on September 14, 2024 and sell it today you would earn a total of  61,413  from holding Bank Negara Indonesia or generate 14.4% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Together
Strength	Strong
Accuracy	99.79%
Values	Daily Returns

Jasa Marga Tbk  vs.  Bank Negara Indonesia

Jasa Marga Tbk

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Jasa Marga Tbk has generated negative risk-adjusted returns adding no value to investors with long positions. Despite conflicting performance in the last few months, the Stock's forward-looking signals remain quite persistent which may send shares a bit higher in January 2025. The latest mess may also be a sign of long-standing up-swing for the company institutional investors.

Bank Negara Indonesia

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Bank Negara Indonesia has generated negative risk-adjusted returns adding no value to investors with long positions. Despite conflicting performance in the last few months, the Stock's forward-looking signals remain quite persistent which may send shares a bit higher in January 2025. The latest mess may also be a sign of long-standing up-swing for the company institutional investors.

Pair Trading with Jasa Marga and Bank Negara

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

The idea behind Jasa Marga Tbk and Bank Negara Indonesia 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 Analysis module to research over 250,000 global equities including funds, stocks and ETFs to find investment opportunities.