Correlation Between Bank Mandiri and Pertamina Geothermal
Can any of the company-specific risk be diversified away by investing in both Bank Mandiri and Pertamina Geothermal 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 Pertamina Geothermal 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 Pertamina Geothermal Energy, you can compare the effects of market volatilities on Bank Mandiri and Pertamina Geothermal 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 Pertamina Geothermal. Check out your portfolio center. Please also check ongoing floating volatility patterns of Bank Mandiri and Pertamina Geothermal.
Diversification Opportunities for Bank Mandiri and Pertamina Geothermal
0.84 | Correlation Coefficient |
Very poor diversification
The 3 months correlation between Bank and Pertamina is 0.84. Overlapping area represents the amount of risk that can be diversified away by holding Bank Mandiri Persero and Pertamina Geothermal Energy in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Pertamina Geothermal 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 Pertamina Geothermal. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Pertamina Geothermal has no effect on the direction of Bank Mandiri i.e., Bank Mandiri and Pertamina Geothermal go up and down completely randomly.
Pair Corralation between Bank Mandiri and Pertamina Geothermal
Assuming the 90 days trading horizon Bank Mandiri Persero is expected to generate 1.42 times more return on investment than Pertamina Geothermal. However, Bank Mandiri is 1.42 times more volatile than Pertamina Geothermal Energy. It trades about -0.17 of its potential returns per unit of risk. Pertamina Geothermal Energy is currently generating about -0.28 per unit of risk. If you would invest 670,000 in Bank Mandiri Persero on September 1, 2024 and sell it today you would lose (55,000) from holding Bank Mandiri Persero or give up 8.21% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
Bank Mandiri Persero vs. Pertamina Geothermal Energy
Performance |
| Timeline |
| Bank Mandiri Persero |
| Pertamina Geothermal |
Bank Mandiri and Pertamina Geothermal Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Bank Mandiri and Pertamina Geothermal
The main advantage of trading using opposite Bank Mandiri and Pertamina Geothermal positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Bank Mandiri position performs unexpectedly, Pertamina Geothermal 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 Pertamina Geothermal will offset losses from the drop in Pertamina Geothermal'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 |
| Pertamina Geothermal vs. Ashmore Asset Management | Pertamina Geothermal vs. HK Metals Utama | Pertamina Geothermal vs. Lotte Chemical Titan | Pertamina Geothermal vs. Diamond Food Indonesia |
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 Alpha Finder module to use alpha and beta coefficients to find investment opportunities after accounting for the risk.
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