Correlation Between Ultra Jaya and Semen Baturaja
Can any of the company-specific risk be diversified away by investing in both Ultra Jaya and Semen Baturaja 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 Semen Baturaja 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 Semen Baturaja Persero, you can compare the effects of market volatilities on Ultra Jaya and Semen Baturaja 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 Semen Baturaja. Check out your portfolio center. Please also check ongoing floating volatility patterns of Ultra Jaya and Semen Baturaja.
Diversification Opportunities for Ultra Jaya and Semen Baturaja
0.7 | Correlation Coefficient |
Poor diversification
The 3 months correlation between Ultra and Semen is 0.7. Overlapping area represents the amount of risk that can be diversified away by holding Ultra Jaya Milk and Semen Baturaja Persero in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Semen Baturaja Persero 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 Semen Baturaja. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Semen Baturaja Persero has no effect on the direction of Ultra Jaya i.e., Ultra Jaya and Semen Baturaja go up and down completely randomly.
Pair Corralation between Ultra Jaya and Semen Baturaja
Assuming the 90 days trading horizon Ultra Jaya Milk is expected to generate 2.11 times more return on investment than Semen Baturaja. However, Ultra Jaya is 2.11 times more volatile than Semen Baturaja Persero. It trades about -0.03 of its potential returns per unit of risk. Semen Baturaja Persero is currently generating about -0.24 per unit of risk. 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 |
Ultra Jaya Milk vs. Semen Baturaja Persero
Performance |
| Timeline |
| Ultra Jaya Milk |
| Semen Baturaja Persero |
Ultra Jaya and Semen Baturaja Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Ultra Jaya and Semen Baturaja
The main advantage of trading using opposite Ultra Jaya and Semen Baturaja positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Ultra Jaya position performs unexpectedly, Semen Baturaja 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 Semen Baturaja will offset losses from the drop in Semen Baturaja's long position.| Ultra Jaya vs. Mayora Indah Tbk | Ultra Jaya vs. Sido Muncul PT | Ultra Jaya vs. Indofood Cbp Sukses | Ultra Jaya vs. Ace Hardware Indonesia |
| Semen Baturaja vs. Wijaya Karya Beton | Semen Baturaja vs. PP Properti Tbk | Semen Baturaja vs. Pembangunan Perumahan PT | Semen Baturaja vs. Waskita Karya Persero |
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 Watchlist Optimization module to optimize watchlists to build efficient portfolios or rebalance existing positions based on the mean-variance optimization algorithm.
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