Correlation Between Bank Mandiri and Sembcorp Marine
Can any of the company-specific risk be diversified away by investing in both Bank Mandiri and Sembcorp Marine 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 Sembcorp Marine 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 Sembcorp Marine, you can compare the effects of market volatilities on Bank Mandiri and Sembcorp Marine 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 Sembcorp Marine. Check out your portfolio center. Please also check ongoing floating volatility patterns of Bank Mandiri and Sembcorp Marine.
Diversification Opportunities for Bank Mandiri and Sembcorp Marine
-0.44 | Correlation Coefficient |
Very good diversification
The 3 months correlation between Bank and Sembcorp is -0.44. Overlapping area represents the amount of risk that can be diversified away by holding Bank Mandiri Persero and Sembcorp Marine in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Sembcorp Marine 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 Sembcorp Marine. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Sembcorp Marine has no effect on the direction of Bank Mandiri i.e., Bank Mandiri and Sembcorp Marine go up and down completely randomly.
Pair Corralation between Bank Mandiri and Sembcorp Marine
Assuming the 90 days horizon Bank Mandiri Persero is expected to under-perform the Sembcorp Marine. But the pink sheet apears to be less risky and, when comparing its historical volatility, Bank Mandiri Persero is 1.36 times less risky than Sembcorp Marine. The pink sheet trades about -0.03 of its potential returns per unit of risk. The Sembcorp Marine is currently generating about -0.01 of returns per unit of risk over similar time horizon. If you would invest 155.00 in Sembcorp Marine on September 1, 2024 and sell it today you would lose (8.00) from holding Sembcorp Marine or give up 5.16% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Very Weak |
| Accuracy | 95.45% |
| Values | Daily Returns |
Bank Mandiri Persero vs. Sembcorp Marine
Performance |
| Timeline |
| Bank Mandiri Persero |
| Sembcorp Marine |
Bank Mandiri and Sembcorp Marine Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Bank Mandiri and Sembcorp Marine
The main advantage of trading using opposite Bank Mandiri and Sembcorp Marine positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Bank Mandiri position performs unexpectedly, Sembcorp Marine 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 Sembcorp Marine will offset losses from the drop in Sembcorp Marine's long position.| Bank Mandiri vs. Piraeus Bank SA | Bank Mandiri vs. Kasikornbank Public Co | Bank Mandiri vs. Turkiye Garanti Bankasi | Bank Mandiri vs. Delhi Bank Corp |
| Sembcorp Marine vs. Austal Limited | Sembcorp Marine vs. Rolls Royce Holdings PLC | Sembcorp Marine vs. AAR Corp | Sembcorp Marine vs. Eve Holding |
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 Content Syndication module to quickly integrate customizable finance content to your own investment portal.
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