Correlation Between BANK MANDIRI and GREEN PLAINS

Can any of the company-specific risk be diversified away by investing in both BANK MANDIRI and GREEN PLAINS 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 GREEN PLAINS into the same portfolio, which is an essential part of the fundamental portfolio management process.

By analyzing existing cross correlation between BANK MANDIRI and GREEN PLAINS RENEW, you can compare the effects of market volatilities on BANK MANDIRI and GREEN PLAINS 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 GREEN PLAINS. Check out your portfolio center. Please also check ongoing floating volatility patterns of BANK MANDIRI and GREEN PLAINS.

Diversification Opportunities for BANK MANDIRI and GREEN PLAINS

0.7

Correlation Coefficient

BANK MANDIRI  GREEN PLAINS

Poor diversification

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

Pair Corralation between BANK MANDIRI and GREEN PLAINS

Assuming the 90 days trading horizon BANK MANDIRI is expected to under-perform the GREEN PLAINS. But the stock apears to be less risky and, when comparing its historical volatility, BANK MANDIRI is 1.37 times less risky than GREEN PLAINS. The stock trades about -0.15 of its potential returns per unit of risk. The GREEN PLAINS RENEW is currently generating about -0.01 of returns per unit of risk over similar time horizon. If you would invest  1,013  in GREEN PLAINS RENEW on October 25, 2024 and sell it today you would lose (55.00) from holding GREEN PLAINS RENEW or give up 5.43% of portfolio value over 90 days.

Time Period	3 Months [change]
Direction	Moves Together
Strength	Significant
Accuracy	98.33%
Values	Daily Returns

BANK MANDIRI  vs.  GREEN PLAINS RENEW

BANK MANDIRI

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days BANK MANDIRI has generated negative risk-adjusted returns adding no value to investors with long positions. In spite of unsteady performance in the last few months, the Stock's basic indicators remain comparatively stable which may send shares a bit higher in February 2025. The newest uproar may also be a sign of mid-term up-swing for the firm private investors.

GREEN PLAINS RENEW

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days GREEN PLAINS RENEW has generated negative risk-adjusted returns adding no value to investors with long positions. In spite of comparatively stable basic indicators, GREEN PLAINS is not utilizing all of its potentials. The current stock price uproar, may contribute to short-horizon losses for the private investors.

Pair Trading with BANK MANDIRI and GREEN PLAINS

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

The idea behind BANK MANDIRI and GREEN PLAINS RENEW 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 Portfolio Optimization module to compute new portfolio that will generate highest expected return given your specified tolerance for risk.