Correlation Between Bank Mandiri and Enagas SA
Can any of the company-specific risk be diversified away by investing in both Bank Mandiri and Enagas SA 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 Enagas SA 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 Enagas SA, you can compare the effects of market volatilities on Bank Mandiri and Enagas SA 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 Enagas SA. Check out your portfolio center. Please also check ongoing floating volatility patterns of Bank Mandiri and Enagas SA.
Diversification Opportunities for Bank Mandiri and Enagas SA
0.71 | Correlation Coefficient |
Poor diversification
The 3 months correlation between Bank and Enagas is 0.71. Overlapping area represents the amount of risk that can be diversified away by holding Bank Mandiri Persero and Enagas SA in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Enagas SA 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 Enagas SA. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Enagas SA has no effect on the direction of Bank Mandiri i.e., Bank Mandiri and Enagas SA go up and down completely randomly.
Pair Corralation between Bank Mandiri and Enagas SA
Assuming the 90 days horizon Bank Mandiri Persero is expected to under-perform the Enagas SA. In addition to that, Bank Mandiri is 2.39 times more volatile than Enagas SA. It trades about -0.28 of its total potential returns per unit of risk. Enagas SA is currently generating about 0.15 per unit of volatility. If you would invest 615.00 in Enagas SA on November 19, 2024 and sell it today you would earn a total of 18.00 from holding Enagas SA or generate 2.93% return on investment over 90 days.
Time Period | 3 Months [change] |
Direction | Moves Together |
Strength | Significant |
Accuracy | 100.0% |
Values | Daily Returns |
Bank Mandiri Persero vs. Enagas SA
Performance |
Timeline |
Bank Mandiri Persero |
Enagas SA |
Bank Mandiri and Enagas SA Volatility Contrast
Predicted Return Density |
Returns |
Pair Trading with Bank Mandiri and Enagas SA
The main advantage of trading using opposite Bank Mandiri and Enagas SA positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Bank Mandiri position performs unexpectedly, Enagas SA 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 Enagas SA will offset losses from the drop in Enagas SA's long position.Bank Mandiri vs. Bank Rakyat | ||
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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 Correlation Analysis module to reduce portfolio risk simply by holding instruments which are not perfectly correlated.
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