Correlation Between Bank Mandiri and Tigaraksa Satria
Can any of the company-specific risk be diversified away by investing in both Bank Mandiri and Tigaraksa Satria 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 Tigaraksa Satria 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 Tigaraksa Satria Tbk, you can compare the effects of market volatilities on Bank Mandiri and Tigaraksa Satria 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 Tigaraksa Satria. Check out your portfolio center. Please also check ongoing floating volatility patterns of Bank Mandiri and Tigaraksa Satria.
Diversification Opportunities for Bank Mandiri and Tigaraksa Satria
0.64 | Correlation Coefficient |
Poor diversification
The 3 months correlation between Bank and Tigaraksa is 0.64. Overlapping area represents the amount of risk that can be diversified away by holding Bank Mandiri Persero and Tigaraksa Satria Tbk in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Tigaraksa Satria 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 Tigaraksa Satria. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Tigaraksa Satria Tbk has no effect on the direction of Bank Mandiri i.e., Bank Mandiri and Tigaraksa Satria go up and down completely randomly.
Pair Corralation between Bank Mandiri and Tigaraksa Satria
Assuming the 90 days trading horizon Bank Mandiri Persero is expected to under-perform the Tigaraksa Satria. But the stock apears to be less risky and, when comparing its historical volatility, Bank Mandiri Persero is 1.13 times less risky than Tigaraksa Satria. The stock trades about -0.19 of its potential returns per unit of risk. The Tigaraksa Satria Tbk is currently generating about -0.05 of returns per unit of risk over similar time horizon. If you would invest 635,000 in Tigaraksa Satria Tbk on September 3, 2024 and sell it today you would lose (20,000) from holding Tigaraksa Satria Tbk or give up 3.15% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Bank Mandiri Persero vs. Tigaraksa Satria Tbk
Performance |
| Timeline |
| Bank Mandiri Persero |
| Tigaraksa Satria Tbk |
Bank Mandiri and Tigaraksa Satria Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Bank Mandiri and Tigaraksa Satria
The main advantage of trading using opposite Bank Mandiri and Tigaraksa Satria positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Bank Mandiri position performs unexpectedly, Tigaraksa Satria 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 Tigaraksa Satria will offset losses from the drop in Tigaraksa Satria'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 |
| Tigaraksa Satria vs. Astra International Tbk | Tigaraksa Satria vs. Unilever Indonesia Tbk | Tigaraksa Satria vs. Telkom Indonesia Tbk | Tigaraksa Satria vs. Bank Mandiri Persero |
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 Price Exposure Probability module to analyze equity upside and downside potential for a given time horizon across multiple markets.
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