Correlation Between Turkiye Garanti and PT Bank

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

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

Diversification Opportunities for Turkiye Garanti and PT Bank

-0.41

Correlation Coefficient

Turkiye Garanti  PT Bank

Very good diversification

The 3 months correlation between Turkiye and BKRKF is -0.41. Overlapping area represents the amount of risk that can be diversified away by holding Turkiye Garanti Bankasi 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 Turkiye Garanti 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 Turkiye Garanti Bankasi 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 Turkiye Garanti i.e., Turkiye Garanti and PT Bank go up and down completely randomly.

Pair Corralation between Turkiye Garanti and PT Bank

Assuming the 90 days horizon Turkiye Garanti Bankasi is expected to under-perform the PT Bank. In addition to that, Turkiye Garanti is 2.6 times more volatile than PT Bank Rakyat. It trades about -0.07 of its total potential returns per unit of risk. PT Bank Rakyat is currently generating about 0.03 per unit of volatility. If you would invest  28.00  in PT Bank Rakyat on October 26, 2024 and sell it today you would lose (3.00) from holding PT Bank Rakyat or give up 10.71% of portfolio value over 90 days.

Time Period	3 Months [change]
Direction	Moves Against
Strength	Very Weak
Accuracy	28.78%
Values	Daily Returns

Turkiye Garanti Bankasi  vs.  PT Bank Rakyat

Turkiye Garanti Bankasi

Risk-Adjusted Performance

0 of 100

Very Weak

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

PT Bank Rakyat

Risk-Adjusted Performance

1 of 100

Weak

Compared to the overall equity markets, risk-adjusted returns on investments in PT Bank Rakyat are ranked lower than 1 (%) of all global equities and portfolios over the last 90 days. Despite nearly fragile forward-looking signals, PT Bank may actually be approaching a critical reversion point that can send shares even higher in February 2025.

Pair Trading with Turkiye Garanti and PT Bank

The main advantage of trading using opposite Turkiye Garanti and PT Bank positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Turkiye Garanti 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 Turkiye Garanti Bankasi 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 Transformation module to use Price Transformation models to analyze the depth of different equity instruments across global markets.