Correlation Between Multi Bintang and Bank Negara
Can any of the company-specific risk be diversified away by investing in both Multi Bintang 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 Multi Bintang and Bank Negara into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Multi Bintang Indonesia and Bank Negara Indonesia, you can compare the effects of market volatilities on Multi Bintang 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 Multi Bintang with a short position of Bank Negara. Check out your portfolio center. Please also check ongoing floating volatility patterns of Multi Bintang and Bank Negara.
Diversification Opportunities for Multi Bintang and Bank Negara
0.47 | Correlation Coefficient |
Very weak diversification
The 3 months correlation between Multi and Bank is 0.47. Overlapping area represents the amount of risk that can be diversified away by holding Multi Bintang Indonesia 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 Multi Bintang 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 Multi Bintang Indonesia 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 Multi Bintang i.e., Multi Bintang and Bank Negara go up and down completely randomly.
Pair Corralation between Multi Bintang and Bank Negara
Assuming the 90 days trading horizon Multi Bintang Indonesia is expected to under-perform the Bank Negara. But the stock apears to be less risky and, when comparing its historical volatility, Multi Bintang Indonesia is 3.03 times less risky than Bank Negara. The stock trades about -0.01 of its potential returns per unit of risk. The Bank Negara Indonesia is currently generating about 0.0 of returns per unit of risk over similar time horizon. If you would invest 435,000 in Bank Negara Indonesia on December 29, 2024 and sell it today you would lose (11,000) from holding Bank Negara Indonesia or give up 2.53% of portfolio value over 90 days.
Time Period | 3 Months [change] |
Direction | Moves Together |
Strength | Weak |
Accuracy | 100.0% |
Values | Daily Returns |
Multi Bintang Indonesia vs. Bank Negara Indonesia
Performance |
Timeline |
Multi Bintang Indonesia |
Bank Negara Indonesia |
Multi Bintang and Bank Negara Volatility Contrast
Predicted Return Density |
Returns |
Pair Trading with Multi Bintang and Bank Negara
The main advantage of trading using opposite Multi Bintang and Bank Negara positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Multi Bintang 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.Multi Bintang vs. Delta Djakarta Tbk | Multi Bintang vs. Merck Tbk | Multi Bintang vs. Mayora Indah Tbk | Multi Bintang vs. Ultra Jaya Milk |
Bank Negara vs. Bank Mandiri Persero | Bank Negara vs. Bank Rakyat Indonesia | Bank Negara vs. Bank Central Asia | Bank Negara vs. Astra International Tbk |
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 Idea Breakdown module to analyze constituents of all Macroaxis ideas. Macroaxis investment ideas are predefined, sector-focused investing themes.
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