Correlation Between Itau Unibanco and Bank Mandiri
Can any of the company-specific risk be diversified away by investing in both Itau Unibanco and Bank Mandiri 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 Itau Unibanco and Bank Mandiri into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Itau Unibanco Banco and Bank Mandiri Persero, you can compare the effects of market volatilities on Itau Unibanco and Bank Mandiri 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 Itau Unibanco with a short position of Bank Mandiri. Check out your portfolio center. Please also check ongoing floating volatility patterns of Itau Unibanco and Bank Mandiri.
Diversification Opportunities for Itau Unibanco and Bank Mandiri
0.84 | Correlation Coefficient |
Very poor diversification
The 3 months correlation between Itau and Bank is 0.84. Overlapping area represents the amount of risk that can be diversified away by holding Itau Unibanco Banco and Bank Mandiri Persero in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Bank Mandiri Persero and Itau Unibanco 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 Itau Unibanco Banco are associated (or correlated) with Bank Mandiri. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Bank Mandiri Persero has no effect on the direction of Itau Unibanco i.e., Itau Unibanco and Bank Mandiri go up and down completely randomly.
Pair Corralation between Itau Unibanco and Bank Mandiri
Given the investment horizon of 90 days Itau Unibanco Banco is expected to under-perform the Bank Mandiri. But the stock apears to be less risky and, when comparing its historical volatility, Itau Unibanco Banco is 2.08 times less risky than Bank Mandiri. The stock trades about -0.26 of its potential returns per unit of risk. The Bank Mandiri Persero is currently generating about -0.05 of returns per unit of risk over similar time horizon. If you would invest 39.00 in Bank Mandiri Persero on September 23, 2024 and sell it today you would lose (3.00) from holding Bank Mandiri Persero or give up 7.69% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
Itau Unibanco Banco vs. Bank Mandiri Persero
Performance |
| Timeline |
| Itau Unibanco Banco |
| Bank Mandiri Persero |
Itau Unibanco and Bank Mandiri Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Itau Unibanco and Bank Mandiri
The main advantage of trading using opposite Itau Unibanco and Bank Mandiri positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Itau Unibanco position performs unexpectedly, Bank Mandiri 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 Bank Mandiri will offset losses from the drop in Bank Mandiri's long position.| Itau Unibanco vs. Shinhan Financial Group | Itau Unibanco vs. KB Financial Group | Itau Unibanco vs. Banco De Chile | Itau Unibanco vs. Orix Corp Ads |
| Bank Mandiri vs. Banco Bradesco SA | Bank Mandiri vs. Itau Unibanco Banco | Bank Mandiri vs. Lloyds Banking Group | Bank Mandiri vs. Deutsche Bank AG |
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 Portfolio Holdings module to check your current holdings and cash postion to detemine if your portfolio needs rebalancing.
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