Correlation Between BANK MANDIRI and Citigroup

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

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

Diversification Opportunities for BANK MANDIRI and Citigroup

-0.31

Correlation Coefficient

BANK MANDIRI  Citigroup

Very good diversification

The 3 months correlation between BANK and Citigroup is -0.31. Overlapping area represents the amount of risk that can be diversified away by holding BANK MANDIRI and Citigroup in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Citigroup 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 Citigroup. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Citigroup has no effect on the direction of BANK MANDIRI i.e., BANK MANDIRI and Citigroup go up and down completely randomly.

Pair Corralation between BANK MANDIRI and Citigroup

Assuming the 90 days trading horizon BANK MANDIRI is expected to under-perform the Citigroup. But the stock apears to be less risky and, when comparing its historical volatility, BANK MANDIRI is 1.03 times less risky than Citigroup. The stock trades about -0.37 of its potential returns per unit of risk. The Citigroup is currently generating about -0.18 of returns per unit of risk over similar time horizon. If you would invest  7,720  in Citigroup on December 5, 2024 and sell it today you would lose (985.00) from holding Citigroup or give up 12.76% of portfolio value over 90 days.

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

BANK MANDIRI  vs.  Citigroup

BANK MANDIRI

Risk-Adjusted Performance

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 fragile performance in the last few months, the Stock's basic indicators remain comparatively stable which may send shares a bit higher in April 2025. The newest uproar may also be a sign of mid-term up-swing for the firm private investors.

Citigroup

Risk-Adjusted Performance

Weak

Over the last 90 days Citigroup has generated negative risk-adjusted returns adding no value to investors with long positions. In spite of rather sound fundamental indicators, Citigroup is not utilizing all of its potentials. The newest stock price tumult, may contribute to shorter-term losses for the shareholders.

Pair Trading with BANK MANDIRI and Citigroup

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

The idea behind BANK MANDIRI and Citigroup 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 FinTech Suite module to use AI to screen and filter profitable investment opportunities.