Correlation Between Bank Mandiri and Astra Graphia

Can any of the company-specific risk be diversified away by investing in both Bank Mandiri and Astra Graphia 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 Astra Graphia 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 Astra Graphia Tbk, you can compare the effects of market volatilities on Bank Mandiri and Astra Graphia 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 Astra Graphia. Check out your portfolio center. Please also check ongoing floating volatility patterns of Bank Mandiri and Astra Graphia.

Diversification Opportunities for Bank Mandiri and Astra Graphia

0.83

Correlation Coefficient

Bank Mandiri  Astra Graphia

Very poor diversification

The 3 months correlation between Bank and Astra is 0.83. Overlapping area represents the amount of risk that can be diversified away by holding Bank Mandiri Persero and Astra Graphia Tbk in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Astra Graphia Tbk 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 Astra Graphia. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Astra Graphia Tbk has no effect on the direction of Bank Mandiri i.e., Bank Mandiri and Astra Graphia go up and down completely randomly.

Pair Corralation between Bank Mandiri and Astra Graphia

Assuming the 90 days trading horizon Bank Mandiri Persero is expected to under-perform the Astra Graphia. In addition to that, Bank Mandiri is 2.31 times more volatile than Astra Graphia Tbk. It trades about -0.04 of its total potential returns per unit of risk. Astra Graphia Tbk is currently generating about -0.06 per unit of volatility. If you would invest  86,500  in Astra Graphia Tbk on December 30, 2024 and sell it today you would lose (4,500) from holding Astra Graphia Tbk or give up 5.2% of portfolio value over 90 days.

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

Bank Mandiri Persero  vs.  Astra Graphia Tbk

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.

Astra Graphia Tbk

Risk-Adjusted Performance

Very Weak

Over the last 90 days Astra Graphia Tbk has generated negative risk-adjusted returns adding no value to investors with long positions. Despite quite persistent forward-looking signals, Astra Graphia is not utilizing all of its potentials. The latest stock price mess, may contribute to short-term losses for the institutional investors.

Pair Trading with Bank Mandiri and Astra Graphia

The main advantage of trading using opposite Bank Mandiri and Astra Graphia positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Bank Mandiri position performs unexpectedly, Astra Graphia 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 Astra Graphia will offset losses from the drop in Astra Graphia's long position.

The idea behind Bank Mandiri Persero and Astra Graphia Tbk 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 FinTech Suite module to use AI to screen and filter profitable investment opportunities.