Correlation Between Saratoga Investama and Ultra Jaya

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

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

Diversification Opportunities for Saratoga Investama and Ultra Jaya

-0.63

Correlation Coefficient

Saratoga Investama  Ultra Jaya

Excellent diversification

The 3 months correlation between Saratoga and Ultra is -0.63. Overlapping area represents the amount of risk that can be diversified away by holding Saratoga Investama Sedaya 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 Saratoga Investama 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 Saratoga Investama Sedaya 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 Saratoga Investama i.e., Saratoga Investama and Ultra Jaya go up and down completely randomly.

Pair Corralation between Saratoga Investama and Ultra Jaya

Assuming the 90 days trading horizon Saratoga Investama Sedaya is expected to under-perform the Ultra Jaya. In addition to that, Saratoga Investama is 1.1 times more volatile than Ultra Jaya Milk. It trades about -0.07 of its total potential returns per unit of risk. Ultra Jaya Milk is currently generating about 0.15 per unit of volatility. If you would invest  187,500  in Ultra Jaya Milk on February 4, 2024 and sell it today you would earn a total of  9,500  from holding Ultra Jaya Milk or generate 5.07% return on investment over 90 days.

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

Saratoga Investama Sedaya  vs.  Ultra Jaya Milk

Saratoga Investama Sedaya

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Saratoga Investama Sedaya has generated negative risk-adjusted returns adding no value to investors with long positions. Despite quite persistent basic indicators, Saratoga Investama is not utilizing all of its potentials. The latest stock price mess, may contribute to short-term losses for the institutional investors.

Ultra Jaya Milk

Risk-Adjusted Performance

9 of 100

OK

Compared to the overall equity markets, risk-adjusted returns on investments in Ultra Jaya Milk are ranked lower than 9 (%) of all global equities and portfolios over the last 90 days. Despite quite conflicting basic indicators, Ultra Jaya disclosed solid returns over the last few months and may actually be approaching a breakup point.

Pair Trading with Saratoga Investama and Ultra Jaya

The main advantage of trading using opposite Saratoga Investama and Ultra Jaya positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Saratoga Investama 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 Saratoga Investama Sedaya 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 Piotroski F Score module to get Piotroski F Score based on the binary analysis strategy of nine different fundamentals.