Correlation Between PT Astra and Bank Mandiri

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

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

Diversification Opportunities for PT Astra and Bank Mandiri

0.74

Correlation Coefficient

PT Astra  Bank Mandiri

Poor diversification

The 3 months correlation between PTAIF and Bank is 0.74. Overlapping area represents the amount of risk that can be diversified away by holding PT Astra International and Bank Mandiri Persero in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Bank Mandiri Persero and PT Astra 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 Astra International are associated (or correlated) with Bank Mandiri. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Bank Mandiri Persero has no effect on the direction of PT Astra i.e., PT Astra and Bank Mandiri go up and down completely randomly.

Pair Corralation between PT Astra and Bank Mandiri

Assuming the 90 days horizon PT Astra International is expected to under-perform the Bank Mandiri. But the pink sheet apears to be less risky and, when comparing its historical volatility, PT Astra International is 1.49 times less risky than Bank Mandiri. The pink sheet trades about -0.23 of its potential returns per unit of risk. The Bank Mandiri Persero is currently generating about 0.06 of returns per unit of risk over similar time horizon. If you would invest  35.00  in Bank Mandiri Persero on October 20, 2024 and sell it today you would earn a total of  1.00  from holding Bank Mandiri Persero or generate 2.86% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Together
Strength	Significant
Accuracy	95.0%
Values	Daily Returns

PT Astra International  vs.  Bank Mandiri Persero

PT Astra International

Risk-Adjusted Performance

0 of 100

Very Weak

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

Bank Mandiri Persero

Risk-Adjusted Performance

0 of 100

Very Weak

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

Pair Trading with PT Astra and Bank Mandiri

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

The idea behind PT Astra International and Bank Mandiri Persero 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 Money Managers module to screen money managers from public funds and ETFs managed around the world.