Correlation Between Bank Mandiri and Astra Agro
Can any of the company-specific risk be diversified away by investing in both Bank Mandiri and Astra Agro 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 Astra Agro 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 Astra Agro Lestari, you can compare the effects of market volatilities on Bank Mandiri and Astra Agro 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 Astra Agro. Check out your portfolio center. Please also check ongoing floating volatility patterns of Bank Mandiri and Astra Agro.
Diversification Opportunities for Bank Mandiri and Astra Agro
-0.04 | Correlation Coefficient |
Good diversification
The 3 months correlation between Bank and Astra is -0.04. Overlapping area represents the amount of risk that can be diversified away by holding Bank Mandiri Persero and Astra Agro Lestari in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Astra Agro Lestari 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 Astra Agro. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Astra Agro Lestari has no effect on the direction of Bank Mandiri i.e., Bank Mandiri and Astra Agro go up and down completely randomly.
Pair Corralation between Bank Mandiri and Astra Agro
Assuming the 90 days trading horizon Bank Mandiri Persero is expected to under-perform the Astra Agro. In addition to that, Bank Mandiri is 1.56 times more volatile than Astra Agro Lestari. It trades about -0.33 of its total potential returns per unit of risk. Astra Agro Lestari is currently generating about -0.38 per unit of volatility. If you would invest 677,500 in Astra Agro Lestari on August 26, 2024 and sell it today you would lose (57,500) from holding Astra Agro Lestari or give up 8.49% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Insignificant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Bank Mandiri Persero vs. Astra Agro Lestari
Performance |
| Timeline |
| Bank Mandiri Persero |
| Astra Agro Lestari |
Bank Mandiri and Astra Agro Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Bank Mandiri and Astra Agro
The main advantage of trading using opposite Bank Mandiri and Astra Agro positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Bank Mandiri position performs unexpectedly, Astra Agro 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 Astra Agro will offset losses from the drop in Astra Agro'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 |
| Astra Agro vs. United Tractors Tbk | Astra Agro vs. Vale Indonesia Tbk | Astra Agro vs. Astra International Tbk | Astra Agro vs. Bukit Asam 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 Idea Analyzer module to analyze all characteristics, volatility and risk-adjusted return of Macroaxis ideas.
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