Correlation Between Bank Mandiri and Sumber Alfaria
Can any of the company-specific risk be diversified away by investing in both Bank Mandiri and Sumber Alfaria 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 Sumber Alfaria 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 Sumber Alfaria Trijaya, you can compare the effects of market volatilities on Bank Mandiri and Sumber Alfaria 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 Sumber Alfaria. Check out your portfolio center. Please also check ongoing floating volatility patterns of Bank Mandiri and Sumber Alfaria.
Diversification Opportunities for Bank Mandiri and Sumber Alfaria
0.18 | Correlation Coefficient |
Average diversification
The 3 months correlation between Bank and Sumber is 0.18. Overlapping area represents the amount of risk that can be diversified away by holding Bank Mandiri Persero and Sumber Alfaria Trijaya in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Sumber Alfaria Trijaya 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 Sumber Alfaria. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Sumber Alfaria Trijaya has no effect on the direction of Bank Mandiri i.e., Bank Mandiri and Sumber Alfaria go up and down completely randomly.
Pair Corralation between Bank Mandiri and Sumber Alfaria
Assuming the 90 days trading horizon Bank Mandiri Persero is expected to generate 0.96 times more return on investment than Sumber Alfaria. However, Bank Mandiri Persero is 1.05 times less risky than Sumber Alfaria. It trades about -0.07 of its potential returns per unit of risk. Sumber Alfaria Trijaya is currently generating about -0.42 per unit of risk. If you would invest 682,500 in Bank Mandiri Persero on August 27, 2024 and sell it today you would lose (22,500) from holding Bank Mandiri Persero or give up 3.3% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Insignificant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Bank Mandiri Persero vs. Sumber Alfaria Trijaya
Performance |
| Timeline |
| Bank Mandiri Persero |
| Sumber Alfaria Trijaya |
Bank Mandiri and Sumber Alfaria Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Bank Mandiri and Sumber Alfaria
The main advantage of trading using opposite Bank Mandiri and Sumber Alfaria positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Bank Mandiri position performs unexpectedly, Sumber Alfaria 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 Sumber Alfaria will offset losses from the drop in Sumber Alfaria'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 |
| Sumber Alfaria vs. Elang Mahkota Teknologi | Sumber Alfaria vs. Ace Hardware Indonesia | Sumber Alfaria vs. BFI Finance Indonesia | Sumber Alfaria vs. Tower Bersama Infrastructure |
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 Sectors module to list of equity sectors categorizing publicly traded companies based on their primary business activities.
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