Correlation Between PT Bank and Carrefour

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

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

Diversification Opportunities for PT Bank and Carrefour

0.78

Correlation Coefficient

PT Bank  Carrefour

Poor diversification

The 3 months correlation between PQ9 and Carrefour is 0.78. Overlapping area represents the amount of risk that can be diversified away by holding PT Bank Mandiri and Carrefour SA in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Carrefour SA and PT 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 PT Bank Mandiri are associated (or correlated) with Carrefour. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Carrefour SA has no effect on the direction of PT Bank i.e., PT Bank and Carrefour go up and down completely randomly.

Pair Corralation between PT Bank and Carrefour

Assuming the 90 days horizon PT Bank Mandiri is expected to generate 3.09 times more return on investment than Carrefour. However, PT Bank is 3.09 times more volatile than Carrefour SA. It trades about 0.01 of its potential returns per unit of risk. Carrefour SA is currently generating about -0.04 per unit of risk. If you would invest  38.00  in PT Bank Mandiri on September 28, 2024 and sell it today you would lose (6.00) from holding PT Bank Mandiri or give up 15.79% of portfolio value over 90 days.

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

PT Bank Mandiri  vs.  Carrefour SA

PT Bank Mandiri

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days PT Bank Mandiri has generated negative risk-adjusted returns adding no value to investors with long positions. Despite fragile performance in the last few months, the Stock's basic indicators remain nearly stable which may send shares a bit higher in January 2025. The current disturbance may also be a sign of long-run up-swing for the company stockholders.

Carrefour SA

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Carrefour SA has generated negative risk-adjusted returns adding no value to investors with long positions. Despite latest uncertain 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 PT Bank and Carrefour

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

The idea behind PT Bank Mandiri and Carrefour SA 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 Analyst Advice module to analyst recommendations and target price estimates broken down by several categories.