Correlation Between Jasa Marga and Bank Mandiri

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

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

Diversification Opportunities for Jasa Marga and Bank Mandiri

0.9

Correlation Coefficient

Jasa Marga  Bank Mandiri

Almost no diversification

The 3 months correlation between Jasa and Bank is 0.9. Overlapping area represents the amount of risk that can be diversified away by holding Jasa Marga Tbk 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 Jasa Marga 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 Jasa Marga Tbk 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 Jasa Marga i.e., Jasa Marga and Bank Mandiri go up and down completely randomly.

Pair Corralation between Jasa Marga and Bank Mandiri

Assuming the 90 days trading horizon Jasa Marga Tbk is expected to generate 1.14 times more return on investment than Bank Mandiri. However, Jasa Marga is 1.14 times more volatile than Bank Mandiri Persero. It trades about 0.06 of its potential returns per unit of risk. Bank Mandiri Persero is currently generating about 0.05 per unit of risk. If you would invest  290,318  in Jasa Marga Tbk on September 14, 2024 and sell it today you would earn a total of  157,682  from holding Jasa Marga Tbk or generate 54.31% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Together
Strength	Very Strong
Accuracy	99.79%
Values	Daily Returns

Jasa Marga Tbk  vs.  Bank Mandiri Persero

Jasa Marga Tbk

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Jasa Marga Tbk 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 January 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

0 of 100

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 conflicting performance in the last few months, the Stock's forward-looking signals remain quite persistent which may send shares a bit higher in January 2025. The latest mess may also be a sign of long-standing up-swing for the company institutional investors.

Pair Trading with Jasa Marga and Bank Mandiri

The main advantage of trading using opposite Jasa Marga and Bank Mandiri positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Jasa Marga 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 Jasa Marga Tbk 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 Theme Ratings module to determine theme ratings based on digital equity recommendations. Macroaxis theme ratings are based on combination of fundamental analysis and risk-adjusted market performance.