Correlation Between Perusahaan Gas and Bank Mandiri
Can any of the company-specific risk be diversified away by investing in both Perusahaan Gas 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 Perusahaan Gas and Bank Mandiri into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Perusahaan Gas Negara and Bank Mandiri Persero, you can compare the effects of market volatilities on Perusahaan Gas 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 Perusahaan Gas with a short position of Bank Mandiri. Check out your portfolio center. Please also check ongoing floating volatility patterns of Perusahaan Gas and Bank Mandiri.
Diversification Opportunities for Perusahaan Gas and Bank Mandiri
0.07 | Correlation Coefficient |
Significant diversification
The 3 months correlation between Perusahaan and Bank is 0.07. Overlapping area represents the amount of risk that can be diversified away by holding Perusahaan Gas Negara 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 Perusahaan Gas 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 Perusahaan Gas Negara 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 Perusahaan Gas i.e., Perusahaan Gas and Bank Mandiri go up and down completely randomly.
Pair Corralation between Perusahaan Gas and Bank Mandiri
Assuming the 90 days trading horizon Perusahaan Gas is expected to generate 1.05 times less return on investment than Bank Mandiri. In addition to that, Perusahaan Gas is 1.05 times more volatile than Bank Mandiri Persero. It trades about 0.05 of its total potential returns per unit of risk. Bank Mandiri Persero is currently generating about 0.05 per unit of volatility. 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 | Insignificant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Perusahaan Gas Negara vs. Bank Mandiri Persero
Performance |
| Timeline |
| Perusahaan Gas Negara |
| Bank Mandiri Persero |
Perusahaan Gas and Bank Mandiri Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Perusahaan Gas and Bank Mandiri
The main advantage of trading using opposite Perusahaan Gas and Bank Mandiri positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Perusahaan Gas 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.| Perusahaan Gas vs. Aneka Tambang Persero | Perusahaan Gas vs. Bukit Asam Tbk | Perusahaan Gas vs. Telkom Indonesia Tbk | Perusahaan Gas vs. Astra International Tbk |
| Bank Mandiri vs. Bank Rakyat Indonesia | Bank Mandiri vs. Bank Central Asia | Bank Mandiri vs. Bank Negara Indonesia | Bank Mandiri vs. Astra International Tbk |
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 Money Managers module to screen money managers from public funds and ETFs managed around the world.
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