Correlation Between Ultra Jaya and Astra Otoparts
Can any of the company-specific risk be diversified away by investing in both Ultra Jaya and Astra Otoparts 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 Ultra Jaya and Astra Otoparts into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Ultra Jaya Milk and Astra Otoparts Tbk, you can compare the effects of market volatilities on Ultra Jaya and Astra Otoparts 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 Ultra Jaya with a short position of Astra Otoparts. Check out your portfolio center. Please also check ongoing floating volatility patterns of Ultra Jaya and Astra Otoparts.
Diversification Opportunities for Ultra Jaya and Astra Otoparts
-0.28 | Correlation Coefficient |
Very good diversification
The 3 months correlation between Ultra and Astra is -0.28. Overlapping area represents the amount of risk that can be diversified away by holding Ultra Jaya Milk and Astra Otoparts Tbk in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Astra Otoparts Tbk and Ultra Jaya 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 Ultra Jaya Milk are associated (or correlated) with Astra Otoparts. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Astra Otoparts Tbk has no effect on the direction of Ultra Jaya i.e., Ultra Jaya and Astra Otoparts go up and down completely randomly.
Pair Corralation between Ultra Jaya and Astra Otoparts
Assuming the 90 days trading horizon Ultra Jaya is expected to generate 1.89 times less return on investment than Astra Otoparts. But when comparing it to its historical volatility, Ultra Jaya Milk is 1.33 times less risky than Astra Otoparts. It trades about 0.03 of its potential returns per unit of risk. Astra Otoparts Tbk is currently generating about 0.05 of returns per unit of risk over similar time horizon. If you would invest 169,518 in Astra Otoparts Tbk on August 29, 2024 and sell it today you would earn a total of 62,482 from holding Astra Otoparts Tbk or generate 36.86% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Insignificant |
| Accuracy | 99.73% |
| Values | Daily Returns |
Ultra Jaya Milk vs. Astra Otoparts Tbk
Performance |
| Timeline |
| Ultra Jaya Milk |
| Astra Otoparts Tbk |
Ultra Jaya and Astra Otoparts Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Ultra Jaya and Astra Otoparts
The main advantage of trading using opposite Ultra Jaya and Astra Otoparts positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Ultra Jaya position performs unexpectedly, Astra Otoparts 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 Astra Otoparts will offset losses from the drop in Astra Otoparts' long position.The idea behind Ultra Jaya Milk and Astra Otoparts Tbk 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.| Astra Otoparts vs. Gajah Tunggal Tbk | Astra Otoparts vs. Astra Graphia Tbk | Astra Otoparts vs. Indomobil Sukses Internasional | Astra Otoparts vs. Astra Agro Lestari |
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 Commodity Directory module to find actively traded commodities issued by global exchanges.
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