Correlation Between Bank Mandiri and Citic

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

Diversification Opportunities for Bank Mandiri and Citic

-0.62

Correlation Coefficient

Bank Mandiri  Citic

Excellent diversification

The 3 months correlation between Bank and Citic is -0.62. Overlapping area represents the amount of risk that can be diversified away by holding Bank Mandiri Persero and Citic Ltd ADR in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Citic Ltd ADR 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 Citic. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Citic Ltd ADR has no effect on the direction of Bank Mandiri i.e., Bank Mandiri and Citic go up and down completely randomly.

Pair Corralation between Bank Mandiri and Citic

Assuming the 90 days horizon Bank Mandiri Persero is expected to under-perform the Citic. In addition to that, Bank Mandiri is 1.92 times more volatile than Citic Ltd ADR. It trades about -0.04 of its total potential returns per unit of risk. Citic Ltd ADR is currently generating about 0.03 per unit of volatility. If you would invest  562.00  in Citic Ltd ADR on December 25, 2024 and sell it today you would earn a total of  21.00  from holding Citic Ltd ADR or generate 3.74% 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.  Citic Ltd ADR

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 fragile performance in the last few months, the Stock's basic indicators remain nearly stable which may send shares a bit higher in April 2025. The current disturbance may also be a sign of long-run up-swing for the company stockholders.

Citic Ltd ADR

Risk-Adjusted Performance

Weak

Compared to the overall equity markets, risk-adjusted returns on investments in Citic Ltd ADR are ranked lower than 2 (%) of all global equities and portfolios over the last 90 days. In spite of fairly unfluctuating fundamental indicators, Citic may actually be approaching a critical reversion point that can send shares even higher in April 2025.

Pair Trading with Bank Mandiri and Citic

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

The idea behind Bank Mandiri Persero and Citic Ltd ADR 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 Equity Analysis module to research over 250,000 global equities including funds, stocks and ETFs to find investment opportunities.