Correlation Between Bank Mandiri and Sekisui House

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

Diversification Opportunities for Bank Mandiri and Sekisui House

0.68

Correlation Coefficient

Bank Mandiri  Sekisui House

Poor diversification

The 3 months correlation between Bank and Sekisui is 0.68. Overlapping area represents the amount of risk that can be diversified away by holding Bank Mandiri Persero and Sekisui House Ltd in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Sekisui House 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 Sekisui House. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Sekisui House has no effect on the direction of Bank Mandiri i.e., Bank Mandiri and Sekisui House go up and down completely randomly.

Pair Corralation between Bank Mandiri and Sekisui House

Assuming the 90 days horizon Bank Mandiri Persero is expected to under-perform the Sekisui House. In addition to that, Bank Mandiri is 2.4 times more volatile than Sekisui House Ltd. It trades about -0.04 of its total potential returns per unit of risk. Sekisui House Ltd is currently generating about -0.07 per unit of volatility. If you would invest  2,395  in Sekisui House Ltd on December 28, 2024 and sell it today you would lose (129.00) from holding Sekisui House Ltd or give up 5.39% of portfolio value over 90 days.

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

Bank Mandiri Persero  vs.  Sekisui House Ltd

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. In spite of latest weak performance, the Stock's basic indicators remain strong and the current disturbance on Wall Street may also be a sign of long term gains for the company investors.

Sekisui House

Risk-Adjusted Performance

Very Weak

Over the last 90 days Sekisui House Ltd has generated negative risk-adjusted returns adding no value to investors with long positions. In spite of fairly strong basic indicators, Sekisui House is not utilizing all of its potentials. The current stock price disturbance, may contribute to short-term losses for the investors.

Pair Trading with Bank Mandiri and Sekisui House

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

The idea behind Bank Mandiri Persero and Sekisui House Ltd 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 Headlines Timeline module to stay connected to all market stories and filter out noise. Drill down to analyze hype elasticity.