Correlation Between Sido Muncul and Bank Tabungan

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

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

Diversification Opportunities for Sido Muncul and Bank Tabungan

0.38

Correlation Coefficient

Sido Muncul  Bank Tabungan

Weak diversification

The 3 months correlation between Sido and Bank is 0.38. Overlapping area represents the amount of risk that can be diversified away by holding Sido Muncul PT and Bank Tabungan Pensiunan in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Bank Tabungan Pensiunan and Sido Muncul 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 Sido Muncul PT are associated (or correlated) with Bank Tabungan. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Bank Tabungan Pensiunan has no effect on the direction of Sido Muncul i.e., Sido Muncul and Bank Tabungan go up and down completely randomly.

Pair Corralation between Sido Muncul and Bank Tabungan

Assuming the 90 days trading horizon Sido Muncul PT is expected to generate 0.8 times more return on investment than Bank Tabungan. However, Sido Muncul PT is 1.25 times less risky than Bank Tabungan. It trades about 0.06 of its potential returns per unit of risk. Bank Tabungan Pensiunan is currently generating about 0.04 per unit of risk. If you would invest  58,000  in Sido Muncul PT on November 27, 2024 and sell it today you would earn a total of  3,000  from holding Sido Muncul PT or generate 5.17% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Together
Strength	Very Weak
Accuracy	98.25%
Values	Daily Returns

Sido Muncul PT  vs.  Bank Tabungan Pensiunan

Sido Muncul PT

Risk-Adjusted Performance

Insignificant

Compared to the overall equity markets, risk-adjusted returns on investments in Sido Muncul PT are ranked lower than 4 (%) of all global equities and portfolios over the last 90 days. Despite quite conflicting forward-looking signals, Sido Muncul may actually be approaching a critical reversion point that can send shares even higher in March 2025.

Bank Tabungan Pensiunan

Risk-Adjusted Performance

Insignificant

Compared to the overall equity markets, risk-adjusted returns on investments in Bank Tabungan Pensiunan are ranked lower than 3 (%) of all global equities and portfolios over the last 90 days. Despite quite persistent forward-looking signals, Bank Tabungan 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 Sido Muncul and Bank Tabungan

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

The idea behind Sido Muncul PT and Bank Tabungan Pensiunan 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 Bonds Directory module to find actively traded corporate debentures issued by US companies.