Correlation Between Danske Bank and Bank Mandiri

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

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

Diversification Opportunities for Danske Bank and Bank Mandiri

0.62

Correlation Coefficient

Danske Bank  Bank Mandiri

Poor diversification

The 3 months correlation between Danske and Bank is 0.62. Overlapping area represents the amount of risk that can be diversified away by holding Danske Bank AS 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 Danske Bank 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 Danske Bank AS 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 Danske Bank i.e., Danske Bank and Bank Mandiri go up and down completely randomly.

Pair Corralation between Danske Bank and Bank Mandiri

Assuming the 90 days horizon Danske Bank AS is expected to under-perform the Bank Mandiri. But the pink sheet apears to be less risky and, when comparing its historical volatility, Danske Bank AS is 2.46 times less risky than Bank Mandiri. The pink sheet trades about -0.05 of its potential returns per unit of risk. The Bank Mandiri Persero is currently generating about 0.0 of returns per unit of risk over similar time horizon. If you would invest  45.00  in Bank Mandiri Persero on August 30, 2024 and sell it today you would lose (1.00) from holding Bank Mandiri Persero or give up 2.22% of portfolio value over 90 days.

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

Danske Bank AS  vs.  Bank Mandiri Persero

Danske Bank AS

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Danske Bank AS has generated negative risk-adjusted returns adding no value to investors with long positions. In spite of latest weak performance, the Stock's technical and fundamental indicators remain strong and the current disturbance on Wall Street may also be a sign of long term gains for the company investors.

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 latest weak performance, the Stock's basic indicators remain stable and the current disturbance on Wall Street may also be a sign of long-run gains for the company stockholders.

Pair Trading with Danske Bank and Bank Mandiri

The main advantage of trading using opposite Danske Bank and Bank Mandiri positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Danske Bank 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 Danske Bank AS 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.

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 Price Transformation module to use Price Transformation models to analyze the depth of different equity instruments across global markets.