Correlation Between Bank Mandiri and Astra International
Can any of the company-specific risk be diversified away by investing in both Bank Mandiri and Astra International 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 International 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 International Tbk, you can compare the effects of market volatilities on Bank Mandiri and Astra International 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 International. Check out your portfolio center. Please also check ongoing floating volatility patterns of Bank Mandiri and Astra International.
Diversification Opportunities for Bank Mandiri and Astra International
0.2 | Correlation Coefficient |
Modest diversification
The 3 months correlation between Bank and Astra is 0.2. Overlapping area represents the amount of risk that can be diversified away by holding Bank Mandiri Persero and Astra International Tbk in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Astra International Tbk 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 International. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Astra International Tbk has no effect on the direction of Bank Mandiri i.e., Bank Mandiri and Astra International go up and down completely randomly.
Pair Corralation between Bank Mandiri and Astra International
Assuming the 90 days trading horizon Bank Mandiri Persero is expected to generate 1.12 times more return on investment than Astra International. However, Bank Mandiri is 1.12 times more volatile than Astra International Tbk. It trades about 0.05 of its potential returns per unit of risk. Astra International Tbk is currently generating about -0.03 per unit of risk. If you would invest 482,808 in Bank Mandiri Persero on August 27, 2024 and sell it today you would earn a total of 142,192 from holding Bank Mandiri Persero or generate 29.45% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
Bank Mandiri Persero vs. Astra International Tbk
Performance |
| Timeline |
| Bank Mandiri Persero |
| Astra International Tbk |
Bank Mandiri and Astra International Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Bank Mandiri and Astra International
The main advantage of trading using opposite Bank Mandiri and Astra International positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Bank Mandiri position performs unexpectedly, Astra International 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 International will offset losses from the drop in Astra International'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 International vs. Telkom Indonesia Tbk | Astra International vs. Bank Mandiri Persero | Astra International vs. Bank Central Asia | Astra International vs. PT Indofood Sukses |
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 Stock Screener module to find equities using a custom stock filter or screen asymmetry in trading patterns, price, volume, or investment outlook..
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