Correlation Between Bank Mandiri and Bank Negara
Can any of the company-specific risk be diversified away by investing in both Bank Mandiri 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 Bank Mandiri and Bank Negara into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Bank Mandiri Persero and Bank Negara Indonesia, you can compare the effects of market volatilities on Bank Mandiri 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 Bank Mandiri with a short position of Bank Negara. Check out your portfolio center. Please also check ongoing floating volatility patterns of Bank Mandiri and Bank Negara.
Diversification Opportunities for Bank Mandiri and Bank Negara
0.77 | Correlation Coefficient |
Poor diversification
The 3 months correlation between Bank and Bank is 0.77. Overlapping area represents the amount of risk that can be diversified away by holding Bank Mandiri Persero 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 Bank Mandiri 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 Mandiri Persero 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 Bank Mandiri i.e., Bank Mandiri and Bank Negara go up and down completely randomly.
Pair Corralation between Bank Mandiri and Bank Negara
Assuming the 90 days trading horizon Bank Mandiri Persero is expected to under-perform the Bank Negara. In addition to that, Bank Mandiri is 1.07 times more volatile than Bank Negara Indonesia. It trades about -0.19 of its total potential returns per unit of risk. Bank Negara Indonesia is currently generating about -0.17 per unit of volatility. If you would invest 525,000 in Bank Negara Indonesia on February 23, 2024 and sell it today you would lose (49,000) from holding Bank Negara Indonesia or give up 9.33% of portfolio value over 90 days.
Time Period | 3 Months [change] |
Direction | Moves Together |
Strength | Significant |
Accuracy | 100.0% |
Values | Daily Returns |
Bank Mandiri Persero vs. Bank Negara Indonesia
Performance |
Timeline |
Bank Mandiri Persero |
Bank Negara Indonesia |
Bank Mandiri and Bank Negara Volatility Contrast
Predicted Return Density |
Returns |
Pair Trading with Bank Mandiri and Bank Negara
The main advantage of trading using opposite Bank Mandiri and Bank Negara positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Bank Mandiri 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.Bank Mandiri vs. Bank Rakyat Indonesia | Bank Mandiri vs. Bank Central Asia | Bank Mandiri vs. Bank Negara Indonesia | Bank Mandiri vs. Astra International Tbk |
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 Portfolio Rebalancing module to analyze risk-adjusted returns against different time horizons to find asset-allocation targets.
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