Correlation Between Matahari Putra and Ultra Jaya

Can any of the company-specific risk be diversified away by investing in both Matahari Putra 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 Matahari Putra and Ultra Jaya into the same portfolio, which is an essential part of the fundamental portfolio management process.

By analyzing existing cross correlation between Matahari Putra Prima and Ultra Jaya Milk, you can compare the effects of market volatilities on Matahari Putra 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 Matahari Putra with a short position of Ultra Jaya. Check out your portfolio center. Please also check ongoing floating volatility patterns of Matahari Putra and Ultra Jaya.

Diversification Opportunities for Matahari Putra and Ultra Jaya

0.29

Correlation Coefficient

Matahari Putra  Ultra Jaya

Modest diversification

The 3 months correlation between Matahari and Ultra is 0.29. Overlapping area represents the amount of risk that can be diversified away by holding Matahari Putra Prima 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 Matahari Putra 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 Matahari Putra Prima 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 Matahari Putra i.e., Matahari Putra and Ultra Jaya go up and down completely randomly.

Pair Corralation between Matahari Putra and Ultra Jaya

Assuming the 90 days trading horizon Matahari Putra Prima is expected to under-perform the Ultra Jaya. In addition to that, Matahari Putra is 3.51 times more volatile than Ultra Jaya Milk. It trades about -0.03 of its total potential returns per unit of risk. Ultra Jaya Milk is currently generating about -0.1 per unit of volatility. If you would invest  186,000  in Ultra Jaya Milk on October 24, 2024 and sell it today you would lose (23,500) from holding Ultra Jaya Milk or give up 12.63% of portfolio value over 90 days.

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

Matahari Putra Prima  vs.  Ultra Jaya Milk

Matahari Putra Prima

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Matahari Putra Prima has generated negative risk-adjusted returns adding no value to investors with long positions. Despite weak performance in the last few months, the Stock's forward-looking signals remain quite persistent which may send shares a bit higher in February 2025. The latest mess may also be a sign of long-standing up-swing for the company institutional investors.

Ultra Jaya Milk

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Ultra Jaya Milk has generated negative risk-adjusted returns adding no value to investors with long positions. Despite conflicting performance in the last few months, the Stock's forward-looking signals remain quite persistent which may send shares a bit higher in February 2025. The latest mess may also be a sign of long-standing up-swing for the company institutional investors.

Pair Trading with Matahari Putra and Ultra Jaya

The main advantage of trading using opposite Matahari Putra and Ultra Jaya positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Matahari Putra 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.

The idea behind Matahari Putra Prima and Ultra Jaya Milk 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 Portfolio Center module to all portfolio management and optimization tools to improve performance of your portfolios.