Correlation Between Bank Mandiri and CITIC Securities
Can any of the company-specific risk be diversified away by investing in both Bank Mandiri and CITIC Securities 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 CITIC Securities 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 CITIC Securities Co, you can compare the effects of market volatilities on Bank Mandiri and CITIC Securities 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 CITIC Securities. Check out your portfolio center. Please also check ongoing floating volatility patterns of Bank Mandiri and CITIC Securities.
Diversification Opportunities for Bank Mandiri and CITIC Securities
-0.68 | Correlation Coefficient |
Excellent diversification
The 3 months correlation between Bank and CITIC is -0.68. Overlapping area represents the amount of risk that can be diversified away by holding Bank Mandiri Persero and CITIC Securities Co in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on CITIC Securities 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 CITIC Securities. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of CITIC Securities has no effect on the direction of Bank Mandiri i.e., Bank Mandiri and CITIC Securities go up and down completely randomly.
Pair Corralation between Bank Mandiri and CITIC Securities
Assuming the 90 days horizon Bank Mandiri is expected to generate 4.38 times less return on investment than CITIC Securities. But when comparing it to its historical volatility, Bank Mandiri Persero is 2.98 times less risky than CITIC Securities. It trades about 0.05 of its potential returns per unit of risk. CITIC Securities Co is currently generating about 0.07 of returns per unit of risk over similar time horizon. If you would invest 1,612 in CITIC Securities Co on September 3, 2024 and sell it today you would earn a total of 883.00 from holding CITIC Securities Co or generate 54.78% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Weak |
| Accuracy | 97.6% |
| Values | Daily Returns |
Bank Mandiri Persero vs. CITIC Securities Co
Performance |
| Timeline |
| Bank Mandiri Persero |
| CITIC Securities |
Bank Mandiri and CITIC Securities Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Bank Mandiri and CITIC Securities
The main advantage of trading using opposite Bank Mandiri and CITIC Securities positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Bank Mandiri position performs unexpectedly, CITIC Securities 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 CITIC Securities will offset losses from the drop in CITIC Securities' long position.| Bank Mandiri vs. PT Bank Rakyat | Bank Mandiri vs. Piraeus Bank SA | Bank Mandiri vs. Eurobank Ergasias Services | Bank Mandiri vs. Zions Bancorporation |
| CITIC Securities vs. First Tractor | CITIC Securities vs. Ag Growth International | CITIC Securities vs. AmeraMex International | CITIC Securities vs. Arts Way Manufacturing Co |
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 Commodity Directory module to find actively traded commodities issued by global exchanges.
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