Correlation Between Bank BRISyariah and Mayora Indah

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

By analyzing existing cross correlation between Bank BRISyariah Tbk and Mayora Indah Tbk, you can compare the effects of market volatilities on Bank BRISyariah and Mayora Indah 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 BRISyariah with a short position of Mayora Indah. Check out your portfolio center. Please also check ongoing floating volatility patterns of Bank BRISyariah and Mayora Indah.

Diversification Opportunities for Bank BRISyariah and Mayora Indah

0.23

Correlation Coefficient

Bank BRISyariah  Mayora Indah

Modest diversification

The 3 months correlation between Bank and Mayora is 0.23. Overlapping area represents the amount of risk that can be diversified away by holding Bank BRISyariah Tbk and Mayora Indah Tbk in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Mayora Indah Tbk and Bank BRISyariah 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 BRISyariah Tbk are associated (or correlated) with Mayora Indah. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Mayora Indah Tbk has no effect on the direction of Bank BRISyariah i.e., Bank BRISyariah and Mayora Indah go up and down completely randomly.

Pair Corralation between Bank BRISyariah and Mayora Indah

Assuming the 90 days trading horizon Bank BRISyariah Tbk is expected to generate 1.48 times more return on investment than Mayora Indah. However, Bank BRISyariah is 1.48 times more volatile than Mayora Indah Tbk. It trades about 0.11 of its potential returns per unit of risk. Mayora Indah Tbk is currently generating about 0.05 per unit of risk. If you would invest  165,592  in Bank BRISyariah Tbk on September 4, 2024 and sell it today you would earn a total of  129,408  from holding Bank BRISyariah Tbk or generate 78.15% return on investment over 90 days.

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

Bank BRISyariah Tbk  vs.  Mayora Indah Tbk

Bank BRISyariah Tbk

Risk-Adjusted Performance

7 of 100

Modest

Compared to the overall equity markets, risk-adjusted returns on investments in Bank BRISyariah Tbk are ranked lower than 7 (%) of all global equities and portfolios over the last 90 days. Despite quite conflicting forward-looking signals, Bank BRISyariah disclosed solid returns over the last few months and may actually be approaching a breakup point.

Mayora Indah Tbk

Risk-Adjusted Performance

3 of 100

Insignificant

Compared to the overall equity markets, risk-adjusted returns on investments in Mayora Indah Tbk are ranked lower than 3 (%) of all global equities and portfolios over the last 90 days. Despite quite persistent forward-looking signals, Mayora Indah is not utilizing all of its potentials. The latest stock price mess, may contribute to short-term losses for the institutional investors.

Pair Trading with Bank BRISyariah and Mayora Indah

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

The idea behind Bank BRISyariah Tbk and Mayora Indah Tbk 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 My Watchlist Analysis module to analyze my current watchlist and to refresh optimization strategy. Macroaxis watchlist is based on self-learning algorithm to remember stocks you like.