Correlation Between Ultra Jaya and PT Estee

Can any of the company-specific risk be diversified away by investing in both Ultra Jaya and PT Estee 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 PT Estee 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 PT Estee Gold, you can compare the effects of market volatilities on Ultra Jaya and PT Estee 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 PT Estee. Check out your portfolio center. Please also check ongoing floating volatility patterns of Ultra Jaya and PT Estee.

Diversification Opportunities for Ultra Jaya and PT Estee

0.12

Correlation Coefficient

Ultra Jaya  PT Estee

Average diversification

The 3 months correlation between Ultra and EURO is 0.12. Overlapping area represents the amount of risk that can be diversified away by holding Ultra Jaya Milk and PT Estee Gold in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on PT Estee Gold 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 PT Estee. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of PT Estee Gold has no effect on the direction of Ultra Jaya i.e., Ultra Jaya and PT Estee go up and down completely randomly.

Pair Corralation between Ultra Jaya and PT Estee

Assuming the 90 days trading horizon Ultra Jaya Milk is expected to generate 0.36 times more return on investment than PT Estee. However, Ultra Jaya Milk is 2.74 times less risky than PT Estee. It trades about -0.11 of its potential returns per unit of risk. PT Estee Gold is currently generating about -0.07 per unit of risk. If you would invest  186,500  in Ultra Jaya Milk on October 21, 2024 and sell it today you would lose (24,500) from holding Ultra Jaya Milk or give up 13.14% of portfolio value over 90 days.

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

Ultra Jaya Milk  vs.  PT Estee Gold

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.

PT Estee Gold

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days PT Estee Gold 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 Ultra Jaya and PT Estee

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

The idea behind Ultra Jaya Milk and PT Estee Gold 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.

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 Alpha Finder module to use alpha and beta coefficients to find investment opportunities after accounting for the risk.