Correlation Between PT Bank and AURUBIS AG

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

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

Diversification Opportunities for PT Bank and AURUBIS AG

-0.7

Correlation Coefficient

PT Bank  AURUBIS AG

Excellent diversification

The 3 months correlation between PQ9 and AURUBIS is -0.7. Overlapping area represents the amount of risk that can be diversified away by holding PT Bank Mandiri and AURUBIS AG UNSPADR in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on AURUBIS AG UNSPADR and PT Bank 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 PT Bank Mandiri are associated (or correlated) with AURUBIS AG. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of AURUBIS AG UNSPADR has no effect on the direction of PT Bank i.e., PT Bank and AURUBIS AG go up and down completely randomly.

Pair Corralation between PT Bank and AURUBIS AG

Assuming the 90 days horizon PT Bank Mandiri is expected to under-perform the AURUBIS AG. In addition to that, PT Bank is 2.16 times more volatile than AURUBIS AG UNSPADR. It trades about -0.04 of its total potential returns per unit of risk. AURUBIS AG UNSPADR is currently generating about 0.01 per unit of volatility. If you would invest  3,780  in AURUBIS AG UNSPADR on September 20, 2024 and sell it today you would earn a total of  0.00  from holding AURUBIS AG UNSPADR or generate 0.0% return on investment over 90 days.

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

PT Bank Mandiri  vs.  AURUBIS AG UNSPADR

PT Bank Mandiri

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days PT Bank Mandiri has generated negative risk-adjusted returns adding no value to investors with long positions. Despite uncertain performance in the last few months, the Stock's basic indicators remain nearly stable which may send shares a bit higher in January 2025. The current disturbance may also be a sign of long-run up-swing for the company stockholders.

AURUBIS AG UNSPADR

Risk-Adjusted Performance

6 of 100

Modest

Compared to the overall equity markets, risk-adjusted returns on investments in AURUBIS AG UNSPADR are ranked lower than 6 (%) of all global equities and portfolios over the last 90 days. Despite nearly fragile basic indicators, AURUBIS AG reported solid returns over the last few months and may actually be approaching a breakup point.

Pair Trading with PT Bank and AURUBIS AG

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

The idea behind PT Bank Mandiri and AURUBIS AG UNSPADR 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.

Check out your portfolio center.

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 Price Transformation module to use Price Transformation models to analyze the depth of different equity instruments across global markets.