Correlation Between Schweizerische Nationalbank and PT Bank

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

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

Diversification Opportunities for Schweizerische Nationalbank and PT Bank

0.68

Correlation Coefficient

Schweizerische Nationalbank  PT Bank

Poor diversification

The 3 months correlation between Schweizerische and BKRKF is 0.68. Overlapping area represents the amount of risk that can be diversified away by holding Schweizerische Nationalbank and PT Bank Rakyat in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on PT Bank Rakyat and Schweizerische Nationalbank 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 Schweizerische Nationalbank 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 Rakyat has no effect on the direction of Schweizerische Nationalbank i.e., Schweizerische Nationalbank and PT Bank go up and down completely randomly.

Pair Corralation between Schweizerische Nationalbank and PT Bank

Assuming the 90 days horizon Schweizerische Nationalbank is expected to under-perform the PT Bank. But the pink sheet apears to be less risky and, when comparing its historical volatility, Schweizerische Nationalbank is 3.8 times less risky than PT Bank. The pink sheet trades about -0.13 of its potential returns per unit of risk. The PT Bank Rakyat is currently generating about 0.0 of returns per unit of risk over similar time horizon. If you would invest  32.00  in PT Bank Rakyat on September 12, 2024 and sell it today you would lose (3.00) from holding PT Bank Rakyat or give up 9.38% of portfolio value over 90 days.

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

Schweizerische Nationalbank  vs.  PT Bank Rakyat

Schweizerische Nationalbank

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Schweizerische Nationalbank has generated negative risk-adjusted returns adding no value to investors with long positions. Despite fragile performance in the last few months, the Stock's basic indicators remain nearly stable which may send shares a bit higher in January 2025. The current disturbance may also be a sign of long-run up-swing for the company stockholders.

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 nearly stable forward-looking signals, 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 Schweizerische Nationalbank and PT Bank

The main advantage of trading using opposite Schweizerische Nationalbank and PT Bank positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Schweizerische Nationalbank 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 Schweizerische Nationalbank and PT Bank Rakyat 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 Price Exposure Probability module to analyze equity upside and downside potential for a given time horizon across multiple markets.