Correlation Between Bank Rakyat and Bank Mandiri
Can any of the company-specific risk be diversified away by investing in both Bank Rakyat and Bank Mandiri 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 Rakyat and Bank Mandiri into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Bank Rakyat Indonesia and Bank Mandiri Persero, you can compare the effects of market volatilities on Bank Rakyat and Bank Mandiri 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 Rakyat with a short position of Bank Mandiri. Check out your portfolio center. Please also check ongoing floating volatility patterns of Bank Rakyat and Bank Mandiri.
Diversification Opportunities for Bank Rakyat and Bank Mandiri
0.94 | Correlation Coefficient |
Almost no diversification
The 3 months correlation between Bank and Bank is 0.94. Overlapping area represents the amount of risk that can be diversified away by holding Bank Rakyat Indonesia and Bank Mandiri Persero in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Bank Mandiri Persero and Bank Rakyat 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 Rakyat Indonesia are associated (or correlated) with Bank Mandiri. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Bank Mandiri Persero has no effect on the direction of Bank Rakyat i.e., Bank Rakyat and Bank Mandiri go up and down completely randomly.
Pair Corralation between Bank Rakyat and Bank Mandiri
Assuming the 90 days trading horizon Bank Rakyat Indonesia is expected to generate 0.75 times more return on investment than Bank Mandiri. However, Bank Rakyat Indonesia is 1.34 times less risky than Bank Mandiri. It trades about -0.48 of its potential returns per unit of risk. Bank Mandiri Persero is currently generating about -0.36 per unit of risk. If you would invest 486,000 in Bank Rakyat Indonesia on August 24, 2024 and sell it today you would lose (61,000) from holding Bank Rakyat Indonesia or give up 12.55% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
Bank Rakyat Indonesia vs. Bank Mandiri Persero
Performance |
| Timeline |
| Bank Rakyat Indonesia |
| Bank Mandiri Persero |
Bank Rakyat and Bank Mandiri Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Bank Rakyat and Bank Mandiri
The main advantage of trading using opposite Bank Rakyat and Bank Mandiri positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Bank Rakyat position performs unexpectedly, Bank Mandiri 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 Mandiri will offset losses from the drop in Bank Mandiri's long position.| Bank Rakyat vs. Bank Central Asia | Bank Rakyat vs. Bank Mandiri Persero | Bank Rakyat vs. Bank Negara Indonesia | Bank Rakyat vs. Telkom Indonesia Tbk |
| Bank Mandiri vs. Paninvest Tbk | Bank Mandiri vs. Maskapai Reasuransi Indonesia | Bank Mandiri vs. Panin Sekuritas Tbk | Bank Mandiri vs. Wahana Ottomitra Multiartha |
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 Money Flow Index module to determine momentum by analyzing Money Flow Index and other technical indicators.
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