Correlation Between Bank Mandiri and Bank Ocbc
Can any of the company-specific risk be diversified away by investing in both Bank Mandiri and Bank Ocbc 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 Bank Ocbc into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Bank Mandiri Persero and Bank Ocbc Nisp, you can compare the effects of market volatilities on Bank Mandiri and Bank Ocbc 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 Bank Ocbc. Check out your portfolio center. Please also check ongoing floating volatility patterns of Bank Mandiri and Bank Ocbc.
Diversification Opportunities for Bank Mandiri and Bank Ocbc
0.64 | Correlation Coefficient |
Poor diversification
The 3 months correlation between Bank and Bank is 0.64. Overlapping area represents the amount of risk that can be diversified away by holding Bank Mandiri Persero and Bank Ocbc Nisp in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Bank Ocbc Nisp 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 Persero are associated (or correlated) with Bank Ocbc. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Bank Ocbc Nisp has no effect on the direction of Bank Mandiri i.e., Bank Mandiri and Bank Ocbc go up and down completely randomly.
Pair Corralation between Bank Mandiri and Bank Ocbc
Assuming the 90 days trading horizon Bank Mandiri Persero is expected to under-perform the Bank Ocbc. In addition to that, Bank Mandiri is 1.31 times more volatile than Bank Ocbc Nisp. It trades about -0.08 of its total potential returns per unit of risk. Bank Ocbc Nisp is currently generating about 0.01 per unit of volatility. If you would invest 126,350 in Bank Ocbc Nisp on February 26, 2024 and sell it today you would earn a total of 650.00 from holding Bank Ocbc Nisp or generate 0.51% return on investment over 90 days.
Time Period | 3 Months [change] |
Direction | Moves Together |
Strength | Significant |
Accuracy | 100.0% |
Values | Daily Returns |
Bank Mandiri Persero vs. Bank Ocbc Nisp
Performance |
Timeline |
Bank Mandiri Persero |
Bank Ocbc Nisp |
Bank Mandiri and Bank Ocbc Volatility Contrast
Predicted Return Density |
Returns |
Pair Trading with Bank Mandiri and Bank Ocbc
The main advantage of trading using opposite Bank Mandiri and Bank Ocbc positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Bank Mandiri position performs unexpectedly, Bank Ocbc 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 Ocbc will offset losses from the drop in Bank Ocbc's long position.Bank Mandiri vs. Bank Rakyat Indonesia | Bank Mandiri vs. Bank Central Asia | Bank Mandiri vs. Bank Negara Indonesia | Bank Mandiri vs. Astra International Tbk |
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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 Equity Forecasting module to use basic forecasting models to generate price predictions and determine price momentum.
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