Correlation Between Mayora Indah and Bank Tabungan

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

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

Diversification Opportunities for Mayora Indah and Bank Tabungan

0.44

Correlation Coefficient

Mayora Indah  Bank Tabungan

Very weak diversification

The 3 months correlation between Mayora and Bank is 0.44. Overlapping area represents the amount of risk that can be diversified away by holding Mayora Indah Tbk and Bank Tabungan Pensiunan in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Bank Tabungan Pensiunan and Mayora Indah 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 Mayora Indah Tbk are associated (or correlated) with Bank Tabungan. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Bank Tabungan Pensiunan has no effect on the direction of Mayora Indah i.e., Mayora Indah and Bank Tabungan go up and down completely randomly.

Pair Corralation between Mayora Indah and Bank Tabungan

Assuming the 90 days trading horizon Mayora Indah Tbk is expected to generate 0.93 times more return on investment than Bank Tabungan. However, Mayora Indah Tbk is 1.07 times less risky than Bank Tabungan. It trades about 0.03 of its potential returns per unit of risk. Bank Tabungan Pensiunan is currently generating about -0.24 per unit of risk. If you would invest  264,000  in Mayora Indah Tbk on September 1, 2024 and sell it today you would earn a total of  6,000  from holding Mayora Indah Tbk or generate 2.27% return on investment over 90 days.

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

Mayora Indah Tbk  vs.  Bank Tabungan Pensiunan

Mayora Indah Tbk

Risk-Adjusted Performance

2 of 100

Weak

Compared to the overall equity markets, risk-adjusted returns on investments in Mayora Indah Tbk are ranked lower than 2 (%) of all global equities and portfolios over the last 90 days. Despite quite persistent forward-looking signals, Mayora Indah is not utilizing all of its potentials. The latest stock price mess, may contribute to short-term losses for the institutional investors.

Bank Tabungan Pensiunan

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Bank Tabungan Pensiunan 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 December 2024. The latest mess may also be a sign of long-standing up-swing for the company institutional investors.

Pair Trading with Mayora Indah and Bank Tabungan

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

The idea behind Mayora Indah Tbk and Bank Tabungan Pensiunan 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 Rebalancing module to analyze risk-adjusted returns against different time horizons to find asset-allocation targets.