Correlation Between Sumber Alfaria and Bank Mandiri

Can any of the company-specific risk be diversified away by investing in both Sumber Alfaria 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 Sumber Alfaria and Bank Mandiri into the same portfolio, which is an essential part of the fundamental portfolio management process.

By analyzing existing cross correlation between Sumber Alfaria Trijaya and Bank Mandiri Persero, you can compare the effects of market volatilities on Sumber Alfaria 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 Sumber Alfaria with a short position of Bank Mandiri. Check out your portfolio center. Please also check ongoing floating volatility patterns of Sumber Alfaria and Bank Mandiri.

Diversification Opportunities for Sumber Alfaria and Bank Mandiri

0.71

Correlation Coefficient

Sumber Alfaria  Bank Mandiri

Poor diversification

The 3 months correlation between Sumber and Bank is 0.71. Overlapping area represents the amount of risk that can be diversified away by holding Sumber Alfaria Trijaya 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 Sumber Alfaria 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 Sumber Alfaria Trijaya 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 Sumber Alfaria i.e., Sumber Alfaria and Bank Mandiri go up and down completely randomly.

Pair Corralation between Sumber Alfaria and Bank Mandiri

Assuming the 90 days trading horizon Sumber Alfaria Trijaya is expected to under-perform the Bank Mandiri. In addition to that, Sumber Alfaria is 1.12 times more volatile than Bank Mandiri Persero. It trades about -0.15 of its total potential returns per unit of risk. Bank Mandiri Persero is currently generating about -0.04 per unit of volatility. If you would invest  570,000  in Bank Mandiri Persero on December 30, 2024 and sell it today you would lose (50,000) from holding Bank Mandiri Persero or give up 8.77% of portfolio value over 90 days.

Time Period	3 Months [change]
Direction	Moves Together
Strength	Significant
Accuracy	100.0%
Values	Daily Returns

Sumber Alfaria Trijaya  vs.  Bank Mandiri Persero

Sumber Alfaria Trijaya

Risk-Adjusted Performance

Very Weak

Over the last 90 days Sumber Alfaria Trijaya has generated negative risk-adjusted returns adding no value to investors with long positions. Despite conflicting performance in the last few months, the Stock's forward-looking signals remain quite persistent which may send shares a bit higher in April 2025. The latest mess may also be a sign of long-standing up-swing for the company institutional investors.

Bank Mandiri Persero

Risk-Adjusted Performance

Very Weak

Over the last 90 days Bank Mandiri Persero has generated negative risk-adjusted returns adding no value to investors with long positions. Despite latest conflicting performance, the Stock's forward-looking signals remain persistent and the latest mess on Wall Street may also be a sign of long-standing gains for the company institutional investors.

Pair Trading with Sumber Alfaria and Bank Mandiri

The main advantage of trading using opposite Sumber Alfaria and Bank Mandiri positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Sumber Alfaria 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.

The idea behind Sumber Alfaria Trijaya and Bank Mandiri Persero pairs trading is to make the combined position market-neutral, meaning the overall market's direction will not affect its win or loss (or potential downside or upside). This can be achieved by designing a pairs trade with two highly correlated stocks or equities that operate in a similar space or sector, making it possible to obtain profits through simple and relatively low-risk investment.

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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 Dashboard module to portfolio dashboard that provides centralized access to all your investments.