Correlation Between Bank Tabungan and Victoria Investama

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

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

Diversification Opportunities for Bank Tabungan and Victoria Investama

0.71

Correlation Coefficient

Bank Tabungan  Victoria Investama

Poor diversification

The 3 months correlation between Bank and Victoria is 0.71. Overlapping area represents the amount of risk that can be diversified away by holding Bank Tabungan Pensiunan and Victoria Investama Tbk in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Victoria Investama Tbk and Bank Tabungan 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 Bank Tabungan Pensiunan are associated (or correlated) with Victoria Investama. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Victoria Investama Tbk has no effect on the direction of Bank Tabungan i.e., Bank Tabungan and Victoria Investama go up and down completely randomly.

Pair Corralation between Bank Tabungan and Victoria Investama

Assuming the 90 days trading horizon Bank Tabungan Pensiunan is expected to under-perform the Victoria Investama. But the stock apears to be less risky and, when comparing its historical volatility, Bank Tabungan Pensiunan is 2.76 times less risky than Victoria Investama. The stock trades about -0.07 of its potential returns per unit of risk. The Victoria Investama Tbk is currently generating about 0.08 of returns per unit of risk over similar time horizon. If you would invest  9,600  in Victoria Investama Tbk on February 27, 2024 and sell it today you would earn a total of  200.00  from holding Victoria Investama Tbk or generate 2.08% return on investment over 90 days.

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

Bank Tabungan Pensiunan  vs.  Victoria Investama Tbk

Bank Tabungan Pensiunan

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Bank Tabungan Pensiunan has generated negative risk-adjusted returns adding no value to investors with long positions. Despite latest conflicting performance, the Stock's basic indicators remain persistent and the latest mess on Wall Street may also be a sign of long-standing gains for the company institutional investors.

Victoria Investama Tbk

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Victoria Investama 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 basic indicators remain quite persistent which may send shares a bit higher in June 2024. The latest mess may also be a sign of long-standing up-swing for the company institutional investors.

Pair Trading with Bank Tabungan and Victoria Investama

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

The idea behind Bank Tabungan Pensiunan and Victoria Investama Tbk 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 Piotroski F Score module to get Piotroski F Score based on the binary analysis strategy of nine different fundamentals.