Correlation Between Bank Mandiri and Citizens Bancorp

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

Diversification Opportunities for Bank Mandiri and Citizens Bancorp

-0.75

Correlation Coefficient

Bank Mandiri  Citizens Bancorp

Pay attention - limited upside

The 3 months correlation between Bank and Citizens is -0.75. Overlapping area represents the amount of risk that can be diversified away by holding Bank Mandiri Persero and Citizens Bancorp of in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Citizens Bancorp 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 Citizens Bancorp. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Citizens Bancorp has no effect on the direction of Bank Mandiri i.e., Bank Mandiri and Citizens Bancorp go up and down completely randomly.

Pair Corralation between Bank Mandiri and Citizens Bancorp

Assuming the 90 days horizon Bank Mandiri Persero is expected to under-perform the Citizens Bancorp. In addition to that, Bank Mandiri is 2.92 times more volatile than Citizens Bancorp of. It trades about -0.02 of its total potential returns per unit of risk. Citizens Bancorp of is currently generating about 0.19 per unit of volatility. If you would invest  2,670  in Citizens Bancorp of on September 3, 2024 and sell it today you would earn a total of  430.00  from holding Citizens Bancorp of or generate 16.1% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Against
Strength	Weak
Accuracy	96.88%
Values	Daily Returns

Bank Mandiri Persero  vs.  Citizens Bancorp of

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 nearly stable basic indicators, Bank Mandiri is not utilizing all of its potentials. The current stock price disturbance, may contribute to mid-run losses for the stockholders.

Citizens Bancorp

Risk-Adjusted Performance

14 of 100

Good

Compared to the overall equity markets, risk-adjusted returns on investments in Citizens Bancorp of are ranked lower than 14 (%) of all global equities and portfolios over the last 90 days. In spite of comparatively unfluctuating fundamental drivers, Citizens Bancorp unveiled solid returns over the last few months and may actually be approaching a breakup point.

Pair Trading with Bank Mandiri and Citizens Bancorp

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

The idea behind Bank Mandiri Persero and Citizens Bancorp of 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 ETF Categories module to list of ETF categories grouped based on various criteria, such as the investment strategy or type of investments.