Correlation Between Erajaya Swasembada and Ultra Jaya
Can any of the company-specific risk be diversified away by investing in both Erajaya Swasembada and Ultra Jaya 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 Erajaya Swasembada and Ultra Jaya into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Erajaya Swasembada Tbk and Ultra Jaya Milk, you can compare the effects of market volatilities on Erajaya Swasembada and Ultra Jaya 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 Erajaya Swasembada with a short position of Ultra Jaya. Check out your portfolio center. Please also check ongoing floating volatility patterns of Erajaya Swasembada and Ultra Jaya.
Diversification Opportunities for Erajaya Swasembada and Ultra Jaya
0.62 | Correlation Coefficient |
Poor diversification
The 3 months correlation between Erajaya and Ultra is 0.62. Overlapping area represents the amount of risk that can be diversified away by holding Erajaya Swasembada Tbk and Ultra Jaya Milk in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Ultra Jaya Milk and Erajaya Swasembada 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 Erajaya Swasembada Tbk are associated (or correlated) with Ultra Jaya. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Ultra Jaya Milk has no effect on the direction of Erajaya Swasembada i.e., Erajaya Swasembada and Ultra Jaya go up and down completely randomly.
Pair Corralation between Erajaya Swasembada and Ultra Jaya
Assuming the 90 days trading horizon Erajaya Swasembada Tbk is expected to under-perform the Ultra Jaya. But the stock apears to be less risky and, when comparing its historical volatility, Erajaya Swasembada Tbk is 1.11 times less risky than Ultra Jaya. The stock trades about -0.22 of its potential returns per unit of risk. The Ultra Jaya Milk is currently generating about -0.03 of returns per unit of risk over similar time horizon. If you would invest 166,000 in Ultra Jaya Milk on October 24, 2024 and sell it today you would lose (3,500) from holding Ultra Jaya Milk or give up 2.11% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Erajaya Swasembada Tbk vs. Ultra Jaya Milk
Performance |
| Timeline |
| Erajaya Swasembada Tbk |
| Ultra Jaya Milk |
Erajaya Swasembada and Ultra Jaya Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Erajaya Swasembada and Ultra Jaya
The main advantage of trading using opposite Erajaya Swasembada and Ultra Jaya positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Erajaya Swasembada position performs unexpectedly, Ultra Jaya 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 Ultra Jaya will offset losses from the drop in Ultra Jaya's long position.| Erajaya Swasembada vs. Ace Hardware Indonesia | Erajaya Swasembada vs. Japfa Comfeed Indonesia | Erajaya Swasembada vs. XL Axiata Tbk | Erajaya Swasembada vs. Pembangunan Perumahan PT |
| Ultra Jaya vs. Mayora Indah Tbk | Ultra Jaya vs. Sido Muncul PT | Ultra Jaya vs. Indofood Cbp Sukses | Ultra Jaya vs. Ace Hardware Indonesia |
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 Money Flow Index module to determine momentum by analyzing Money Flow Index and other technical indicators.
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