Correlation Between PT Bank and SIEMENS AG

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

Diversification Opportunities for PT Bank and SIEMENS AG

-0.47

Correlation Coefficient

PT Bank  SIEMENS AG

Very good diversification

The 3 months correlation between PQ9 and SIEMENS is -0.47. Overlapping area represents the amount of risk that can be diversified away by holding PT Bank Mandiri and SIEMENS AG SP in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on SIEMENS AG SP 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 SIEMENS AG. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of SIEMENS AG SP has no effect on the direction of PT Bank i.e., PT Bank and SIEMENS AG go up and down completely randomly.

Pair Corralation between PT Bank and SIEMENS AG

Assuming the 90 days horizon PT Bank Mandiri is expected to under-perform the SIEMENS AG. In addition to that, PT Bank is 2.32 times more volatile than SIEMENS AG SP. It trades about -0.02 of its total potential returns per unit of risk. SIEMENS AG SP is currently generating about 0.08 per unit of volatility. If you would invest  8,250  in SIEMENS AG SP on September 3, 2024 and sell it today you would earn a total of  700.00  from holding SIEMENS AG SP or generate 8.48% return on investment over 90 days.

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

PT Bank Mandiri  vs.  SIEMENS AG SP

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 nearly stable basic indicators, PT Bank is not utilizing all of its potentials. The current stock price disturbance, may contribute to mid-run losses for the stockholders.

SIEMENS AG SP

Risk-Adjusted Performance

6 of 100

Modest

Compared to the overall equity markets, risk-adjusted returns on investments in SIEMENS AG SP are ranked lower than 6 (%) of all global equities and portfolios over the last 90 days. Despite nearly uncertain technical and fundamental indicators, SIEMENS AG may actually be approaching a critical reversion point that can send shares even higher in January 2025.

Pair Trading with PT Bank and SIEMENS AG

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

The idea behind PT Bank Mandiri and SIEMENS AG SP 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 Instant Ratings module to determine any equity ratings based on digital recommendations. Macroaxis instant equity ratings are based on combination of fundamental analysis and risk-adjusted market performance.