Correlation Between Duta Pertiwi and Jakarta Int

Can any of the company-specific risk be diversified away by investing in both Duta Pertiwi and Jakarta Int 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 Duta Pertiwi and Jakarta Int into the same portfolio, which is an essential part of the fundamental portfolio management process.

By analyzing existing cross correlation between Duta Pertiwi Tbk and Jakarta Int Hotels, you can compare the effects of market volatilities on Duta Pertiwi and Jakarta Int 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 Duta Pertiwi with a short position of Jakarta Int. Check out your portfolio center. Please also check ongoing floating volatility patterns of Duta Pertiwi and Jakarta Int.

Diversification Opportunities for Duta Pertiwi and Jakarta Int

0.24

Correlation Coefficient

Duta Pertiwi  Jakarta Int

Modest diversification

The 3 months correlation between Duta and Jakarta is 0.24. Overlapping area represents the amount of risk that can be diversified away by holding Duta Pertiwi Tbk and Jakarta Int Hotels in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Jakarta Int Hotels and Duta Pertiwi 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 Duta Pertiwi Tbk are associated (or correlated) with Jakarta Int. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Jakarta Int Hotels has no effect on the direction of Duta Pertiwi i.e., Duta Pertiwi and Jakarta Int go up and down completely randomly.

Pair Corralation between Duta Pertiwi and Jakarta Int

Assuming the 90 days trading horizon Duta Pertiwi is expected to generate 8.45 times less return on investment than Jakarta Int. But when comparing it to its historical volatility, Duta Pertiwi Tbk is 3.68 times less risky than Jakarta Int. It trades about 0.14 of its potential returns per unit of risk. Jakarta Int Hotels is currently generating about 0.32 of returns per unit of risk over similar time horizon. If you would invest  34,600  in Jakarta Int Hotels on September 12, 2024 and sell it today you would earn a total of  151,400  from holding Jakarta Int Hotels or generate 437.57% return on investment over 90 days.

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

Duta Pertiwi Tbk  vs.  Jakarta Int Hotels

Duta Pertiwi Tbk

Risk-Adjusted Performance

10 of 100

OK

Compared to the overall equity markets, risk-adjusted returns on investments in Duta Pertiwi Tbk are ranked lower than 10 (%) of all global equities and portfolios over the last 90 days. Despite quite conflicting forward-looking signals, Duta Pertiwi disclosed solid returns over the last few months and may actually be approaching a breakup point.

Jakarta Int Hotels

Risk-Adjusted Performance

25 of 100

Solid

Compared to the overall equity markets, risk-adjusted returns on investments in Jakarta Int Hotels are ranked lower than 25 (%) of all global equities and portfolios over the last 90 days. Despite quite conflicting forward-looking signals, Jakarta Int disclosed solid returns over the last few months and may actually be approaching a breakup point.

Pair Trading with Duta Pertiwi and Jakarta Int

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

The idea behind Duta Pertiwi Tbk and Jakarta Int Hotels 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 FinTech Suite module to use AI to screen and filter profitable investment opportunities.