Correlation Between Jaya Sukses and Maha Properti

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

By analyzing existing cross correlation between Jaya Sukses Makmur and Maha Properti Indonesia, you can compare the effects of market volatilities on Jaya Sukses and Maha Properti 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 Jaya Sukses with a short position of Maha Properti. Check out your portfolio center. Please also check ongoing floating volatility patterns of Jaya Sukses and Maha Properti.

Diversification Opportunities for Jaya Sukses and Maha Properti

0.25

Correlation Coefficient

Jaya Sukses  Maha Properti

Modest diversification

The 3 months correlation between Jaya and Maha is 0.25. Overlapping area represents the amount of risk that can be diversified away by holding Jaya Sukses Makmur and Maha Properti Indonesia in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Maha Properti Indonesia and Jaya Sukses 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 Jaya Sukses Makmur are associated (or correlated) with Maha Properti. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Maha Properti Indonesia has no effect on the direction of Jaya Sukses i.e., Jaya Sukses and Maha Properti go up and down completely randomly.

Pair Corralation between Jaya Sukses and Maha Properti

Assuming the 90 days trading horizon Jaya Sukses is expected to generate 13.84 times less return on investment than Maha Properti. But when comparing it to its historical volatility, Jaya Sukses Makmur is 6.7 times less risky than Maha Properti. It trades about 0.22 of its potential returns per unit of risk. Maha Properti Indonesia is currently generating about 0.46 of returns per unit of risk over similar time horizon. If you would invest  133,500  in Maha Properti Indonesia on September 5, 2024 and sell it today you would earn a total of  67,500  from holding Maha Properti Indonesia or generate 50.56% return on investment over 90 days.

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

Jaya Sukses Makmur  vs.  Maha Properti Indonesia

Jaya Sukses Makmur

Risk-Adjusted Performance

17 of 100

Good

Compared to the overall equity markets, risk-adjusted returns on investments in Jaya Sukses Makmur are ranked lower than 17 (%) of all global equities and portfolios over the last 90 days. Despite quite persistent forward-looking signals, Jaya Sukses is not utilizing all of its potentials. The latest stock price mess, may contribute to short-term losses for the institutional investors.

Maha Properti Indonesia

Risk-Adjusted Performance

36 of 100

Very Strong

Compared to the overall equity markets, risk-adjusted returns on investments in Maha Properti Indonesia are ranked lower than 36 (%) of all global equities and portfolios over the last 90 days. Despite quite conflicting forward-looking signals, Maha Properti disclosed solid returns over the last few months and may actually be approaching a breakup point.

Pair Trading with Jaya Sukses and Maha Properti

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

The idea behind Jaya Sukses Makmur and Maha Properti Indonesia 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 Manager module to state of the art Portfolio Manager to monitor and improve performance of your invested capital.