Correlation Between Bank Mandiri and AMA Group

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

Diversification Opportunities for Bank Mandiri and AMA Group

-0.7

Correlation Coefficient

Bank Mandiri  AMA Group

Excellent diversification

The 3 months correlation between Bank and AMA is -0.7. Overlapping area represents the amount of risk that can be diversified away by holding Bank Mandiri Persero and AMA Group Limited in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on AMA Group Limited 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 AMA Group. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of AMA Group Limited has no effect on the direction of Bank Mandiri i.e., Bank Mandiri and AMA Group go up and down completely randomly.

Pair Corralation between Bank Mandiri and AMA Group

Assuming the 90 days horizon Bank Mandiri Persero is expected to under-perform the AMA Group. But the pink sheet apears to be less risky and, when comparing its historical volatility, Bank Mandiri Persero is 1.08 times less risky than AMA Group. The pink sheet trades about -0.04 of its potential returns per unit of risk. The AMA Group Limited is currently generating about 0.18 of returns per unit of risk over similar time horizon. If you would invest  3.10  in AMA Group Limited on August 30, 2024 and sell it today you would earn a total of  1.65  from holding AMA Group Limited or generate 53.23% return on investment over 90 days.

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

Bank Mandiri Persero  vs.  AMA Group Limited

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 latest fragile performance, the Stock's basic indicators remain stable and the current disturbance on Wall Street may also be a sign of long-run gains for the company stockholders.

AMA Group Limited

Risk-Adjusted Performance

13 of 100

Good

Compared to the overall equity markets, risk-adjusted returns on investments in AMA Group Limited are ranked lower than 13 (%) of all global equities and portfolios over the last 90 days. Despite nearly unfluctuating basic indicators, AMA Group reported solid returns over the last few months and may actually be approaching a breakup point.

Pair Trading with Bank Mandiri and AMA Group

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

The idea behind Bank Mandiri Persero and AMA Group Limited 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.