Correlation Between Ultra Jaya and Selamat Sempurna

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

Diversification Opportunities for Ultra Jaya and Selamat Sempurna

0.82

Correlation Coefficient

Ultra Jaya  Selamat Sempurna

Very poor diversification

The 3 months correlation between Ultra and Selamat is 0.82. Overlapping area represents the amount of risk that can be diversified away by holding Ultra Jaya Milk and Selamat Sempurna Tbk in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Selamat Sempurna Tbk 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 Selamat Sempurna. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Selamat Sempurna Tbk has no effect on the direction of Ultra Jaya i.e., Ultra Jaya and Selamat Sempurna go up and down completely randomly.

Pair Corralation between Ultra Jaya and Selamat Sempurna

Assuming the 90 days trading horizon Ultra Jaya Milk is expected to under-perform the Selamat Sempurna. In addition to that, Ultra Jaya is 1.56 times more volatile than Selamat Sempurna Tbk. It trades about -0.15 of its total potential returns per unit of risk. Selamat Sempurna Tbk is currently generating about -0.17 per unit of volatility. If you would invest  194,500  in Selamat Sempurna Tbk on December 22, 2024 and sell it today you would lose (25,500) from holding Selamat Sempurna Tbk or give up 13.11% of portfolio value over 90 days.

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

Ultra Jaya Milk  vs.  Selamat Sempurna Tbk

Ultra Jaya Milk

Risk-Adjusted Performance

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 April 2025. The latest mess may also be a sign of long-standing up-swing for the company institutional investors.

Selamat Sempurna Tbk

Risk-Adjusted Performance

Very Weak

Over the last 90 days Selamat Sempurna Tbk 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 April 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 Selamat Sempurna

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

The idea behind Ultra Jaya Milk and Selamat Sempurna Tbk 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 File Import module to quickly import all of your third-party portfolios from your local drive in csv format.