Correlation Between Ultra Jaya and Kalbe Farma
Can any of the company-specific risk be diversified away by investing in both Ultra Jaya and Kalbe Farma 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 Kalbe Farma 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 Kalbe Farma Tbk, you can compare the effects of market volatilities on Ultra Jaya and Kalbe Farma 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 Kalbe Farma. Check out your portfolio center. Please also check ongoing floating volatility patterns of Ultra Jaya and Kalbe Farma.
Diversification Opportunities for Ultra Jaya and Kalbe Farma
0.81 | Correlation Coefficient |
Very poor diversification
The 3 months correlation between Ultra and Kalbe is 0.81. Overlapping area represents the amount of risk that can be diversified away by holding Ultra Jaya Milk and Kalbe Farma Tbk in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Kalbe Farma 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 Kalbe Farma. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Kalbe Farma Tbk has no effect on the direction of Ultra Jaya i.e., Ultra Jaya and Kalbe Farma go up and down completely randomly.
Pair Corralation between Ultra Jaya and Kalbe Farma
Assuming the 90 days trading horizon Ultra Jaya Milk is expected to generate 0.98 times more return on investment than Kalbe Farma. However, Ultra Jaya Milk is 1.02 times less risky than Kalbe Farma. It trades about -0.19 of its potential returns per unit of risk. Kalbe Farma Tbk is currently generating about -0.26 per unit of risk. If you would invest 184,000 in Ultra Jaya Milk on August 28, 2024 and sell it today you would lose (12,000) from holding Ultra Jaya Milk or give up 6.52% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
Ultra Jaya Milk vs. Kalbe Farma Tbk
Performance |
| Timeline |
| Ultra Jaya Milk |
| Kalbe Farma Tbk |
Ultra Jaya and Kalbe Farma Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Ultra Jaya and Kalbe Farma
The main advantage of trading using opposite Ultra Jaya and Kalbe Farma positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Ultra Jaya position performs unexpectedly, Kalbe Farma 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 Kalbe Farma will offset losses from the drop in Kalbe Farma's long position.The idea behind Ultra Jaya Milk and Kalbe Farma 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.| Kalbe Farma vs. Astra Graphia Tbk | Kalbe Farma vs. Hexindo Adiperkasa Tbk | Kalbe Farma vs. Lautan Luas Tbk | Kalbe Farma vs. Citra Marga Nusaphala |
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 Fundamentals Comparison module to compare fundamentals across multiple equities to find investing opportunities.
Other Complementary Tools
| Premium Stories Follow Macroaxis premium stories from verified contributors across different equity types, categories and coverage scope | |
| Companies Directory Evaluate performance of over 100,000 Stocks, Funds, and ETFs against different fundamentals | |
| Portfolio Rebalancing Analyze risk-adjusted returns against different time horizons to find asset-allocation targets | |
| Piotroski F Score Get Piotroski F Score based on the binary analysis strategy of nine different fundamentals | |
| Portfolio Volatility Check portfolio volatility and analyze historical return density to properly model market risk |