Correlation Between BANK MANDIRI and Vornado Realty

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

By analyzing existing cross correlation between BANK MANDIRI and Vornado Realty Trust, you can compare the effects of market volatilities on BANK MANDIRI and Vornado Realty 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 Vornado Realty. Check out your portfolio center. Please also check ongoing floating volatility patterns of BANK MANDIRI and Vornado Realty.

Diversification Opportunities for BANK MANDIRI and Vornado Realty

-0.64

Correlation Coefficient

BANK MANDIRI  Vornado Realty

Excellent diversification

The 3 months correlation between BANK and Vornado is -0.64. Overlapping area represents the amount of risk that can be diversified away by holding BANK MANDIRI and Vornado Realty Trust in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Vornado Realty Trust 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 are associated (or correlated) with Vornado Realty. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Vornado Realty Trust has no effect on the direction of BANK MANDIRI i.e., BANK MANDIRI and Vornado Realty go up and down completely randomly.

Pair Corralation between BANK MANDIRI and Vornado Realty

Assuming the 90 days trading horizon BANK MANDIRI is expected to under-perform the Vornado Realty. But the stock apears to be less risky and, when comparing its historical volatility, BANK MANDIRI is 1.24 times less risky than Vornado Realty. The stock trades about -0.07 of its potential returns per unit of risk. The Vornado Realty Trust is currently generating about 0.18 of returns per unit of risk over similar time horizon. If you would invest  3,008  in Vornado Realty Trust on September 3, 2024 and sell it today you would earn a total of  1,042  from holding Vornado Realty Trust or generate 34.64% return on investment over 90 days.

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

BANK MANDIRI  vs.  Vornado Realty Trust

BANK MANDIRI

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days BANK MANDIRI has generated negative risk-adjusted returns adding no value to investors with long positions. In spite of latest fragile performance, the Stock's basic indicators remain stable and the newest uproar on Wall Street may also be a sign of mid-term gains for the firm private investors.

Vornado Realty Trust

Risk-Adjusted Performance

14 of 100

Good

Compared to the overall equity markets, risk-adjusted returns on investments in Vornado Realty Trust are ranked lower than 14 (%) of all global equities and portfolios over the last 90 days. Despite nearly fragile basic indicators, Vornado Realty reported solid returns over the last few months and may actually be approaching a breakup point.

Pair Trading with BANK MANDIRI and Vornado Realty

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

The idea behind BANK MANDIRI and Vornado Realty Trust 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 Price Ceiling Movement module to calculate and plot Price Ceiling Movement for different equity instruments.