Correlation Between Bank Mandiri and Austindo Nusantara

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

Diversification Opportunities for Bank Mandiri and Austindo Nusantara

-0.72

Correlation Coefficient

Bank Mandiri  Austindo Nusantara

Pay attention - limited upside

The 3 months correlation between Bank and Austindo is -0.72. Overlapping area represents the amount of risk that can be diversified away by holding Bank Mandiri Persero and Austindo Nusantara Jaya in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Austindo Nusantara Jaya 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 Austindo Nusantara. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Austindo Nusantara Jaya has no effect on the direction of Bank Mandiri i.e., Bank Mandiri and Austindo Nusantara go up and down completely randomly.

Pair Corralation between Bank Mandiri and Austindo Nusantara

Assuming the 90 days trading horizon Bank Mandiri Persero is expected to under-perform the Austindo Nusantara. In addition to that, Bank Mandiri is 1.43 times more volatile than Austindo Nusantara Jaya. It trades about -0.13 of its total potential returns per unit of risk. Austindo Nusantara Jaya is currently generating about 0.09 per unit of volatility. If you would invest  69,000  in Austindo Nusantara Jaya on September 2, 2024 and sell it today you would earn a total of  4,500  from holding Austindo Nusantara Jaya or generate 6.52% return on investment over 90 days.

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

Bank Mandiri Persero  vs.  Austindo Nusantara Jaya

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 conflicting performance in the last few months, the Stock's forward-looking signals remain quite persistent which may send shares a bit higher in January 2025. The latest mess may also be a sign of long-standing up-swing for the company institutional investors.

Austindo Nusantara Jaya

Risk-Adjusted Performance

6 of 100

Modest

Compared to the overall equity markets, risk-adjusted returns on investments in Austindo Nusantara Jaya are ranked lower than 6 (%) of all global equities and portfolios over the last 90 days. Despite quite conflicting forward-looking signals, Austindo Nusantara may actually be approaching a critical reversion point that can send shares even higher in January 2025.

Pair Trading with Bank Mandiri and Austindo Nusantara

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

The idea behind Bank Mandiri Persero and Austindo Nusantara Jaya 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 Bonds Directory module to find actively traded corporate debentures issued by US companies.