Correlation Between Nusa Raya and Jaya Konstruksi

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

By analyzing existing cross correlation between Nusa Raya Cipta and Jaya Konstruksi Manggala, you can compare the effects of market volatilities on Nusa Raya and Jaya Konstruksi 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 Nusa Raya with a short position of Jaya Konstruksi. Check out your portfolio center. Please also check ongoing floating volatility patterns of Nusa Raya and Jaya Konstruksi.

Diversification Opportunities for Nusa Raya and Jaya Konstruksi

0.93

Correlation Coefficient

Nusa Raya  Jaya Konstruksi

Almost no diversification

The 3 months correlation between Nusa and Jaya is 0.93. Overlapping area represents the amount of risk that can be diversified away by holding Nusa Raya Cipta and Jaya Konstruksi Manggala in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Jaya Konstruksi Manggala and Nusa Raya 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 Nusa Raya Cipta are associated (or correlated) with Jaya Konstruksi. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Jaya Konstruksi Manggala has no effect on the direction of Nusa Raya i.e., Nusa Raya and Jaya Konstruksi go up and down completely randomly.

Pair Corralation between Nusa Raya and Jaya Konstruksi

Assuming the 90 days trading horizon Nusa Raya Cipta is expected to under-perform the Jaya Konstruksi. In addition to that, Nusa Raya is 1.18 times more volatile than Jaya Konstruksi Manggala. It trades about -0.17 of its total potential returns per unit of risk. Jaya Konstruksi Manggala is currently generating about -0.15 per unit of volatility. If you would invest  9,500  in Jaya Konstruksi Manggala on October 27, 2024 and sell it today you would lose (1,400) from holding Jaya Konstruksi Manggala or give up 14.74% of portfolio value over 90 days.

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

Nusa Raya Cipta  vs.  Jaya Konstruksi Manggala

Nusa Raya Cipta

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Nusa Raya Cipta 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.

Jaya Konstruksi Manggala

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Jaya Konstruksi Manggala 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 Nusa Raya and Jaya Konstruksi

The main advantage of trading using opposite Nusa Raya and Jaya Konstruksi positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Nusa Raya position performs unexpectedly, Jaya Konstruksi 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 Jaya Konstruksi will offset losses from the drop in Jaya Konstruksi's long position.

The idea behind Nusa Raya Cipta and Jaya Konstruksi Manggala 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 Money Flow Index module to determine momentum by analyzing Money Flow Index and other technical indicators.