Correlation Between Siam City and Siamgas
Can any of the company-specific risk be diversified away by investing in both Siam City and Siamgas 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 Siam City and Siamgas into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Siam City Cement and Siamgas and Petrochemicals, you can compare the effects of market volatilities on Siam City and Siamgas 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 Siam City with a short position of Siamgas. Check out your portfolio center. Please also check ongoing floating volatility patterns of Siam City and Siamgas.
Diversification Opportunities for Siam City and Siamgas
Very poor diversification
The 3 months correlation between Siam and Siamgas is 0.81. Overlapping area represents the amount of risk that can be diversified away by holding Siam City Cement and Siamgas and Petrochemicals in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Siamgas and Petroche and Siam City 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 Siam City Cement are associated (or correlated) with Siamgas. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Siamgas and Petroche has no effect on the direction of Siam City i.e., Siam City and Siamgas go up and down completely randomly.
Pair Corralation between Siam City and Siamgas
Assuming the 90 days trading horizon Siam City Cement is expected to generate 0.59 times more return on investment than Siamgas. However, Siam City Cement is 1.71 times less risky than Siamgas. It trades about -0.35 of its potential returns per unit of risk. Siamgas and Petrochemicals is currently generating about -0.28 per unit of risk. If you would invest 13,950 in Siam City Cement on March 17, 2024 and sell it today you would lose (900.00) from holding Siam City Cement or give up 6.45% of portfolio value over 90 days.
Time Period | 3 Months [change] |
Direction | Moves Together |
Strength | Strong |
Accuracy | 95.24% |
Values | Daily Returns |
Siam City Cement vs. Siamgas and Petrochemicals
Performance |
Timeline |
Siam City Cement |
Siamgas and Petroche |
Siam City and Siamgas Volatility Contrast
Predicted Return Density |
Returns |
Pair Trading with Siam City and Siamgas
The main advantage of trading using opposite Siam City and Siamgas positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Siam City position performs unexpectedly, Siamgas 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 Siamgas will offset losses from the drop in Siamgas' long position.Siam City vs. Lalin Property Public | Siam City vs. Land and Houses | Siam City vs. Banpu Public | Siam City vs. TISCO Financial Group |
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 Performance Analysis module to check effects of mean-variance optimization against your current asset allocation.
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