Correlation Between Airports and Siam Cement
Can any of the company-specific risk be diversified away by investing in both Airports and Siam Cement 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 Airports and Siam Cement into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Airports of Thailand and The Siam Cement, you can compare the effects of market volatilities on Airports and Siam Cement 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 Airports with a short position of Siam Cement. Check out your portfolio center. Please also check ongoing floating volatility patterns of Airports and Siam Cement.
Diversification Opportunities for Airports and Siam Cement
0.67 | Correlation Coefficient |
Poor diversification
The 3 months correlation between Airports and Siam is 0.67. Overlapping area represents the amount of risk that can be diversified away by holding Airports of Thailand and The Siam Cement in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Siam Cement and Airports 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 Airports of Thailand are associated (or correlated) with Siam Cement. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Siam Cement has no effect on the direction of Airports i.e., Airports and Siam Cement go up and down completely randomly.
Pair Corralation between Airports and Siam Cement
Assuming the 90 days trading horizon Airports of Thailand is expected to generate 0.73 times more return on investment than Siam Cement. However, Airports of Thailand is 1.37 times less risky than Siam Cement. It trades about 0.02 of its potential returns per unit of risk. The Siam Cement is currently generating about -0.12 per unit of risk. If you would invest 5,948 in Airports of Thailand on September 14, 2024 and sell it today you would earn a total of 202.00 from holding Airports of Thailand or generate 3.4% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Airports of Thailand vs. The Siam Cement
Performance |
| Timeline |
| Airports of Thailand |
| Siam Cement |
Airports and Siam Cement Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Airports and Siam Cement
The main advantage of trading using opposite Airports and Siam Cement positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Airports position performs unexpectedly, Siam Cement 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 Siam Cement will offset losses from the drop in Siam Cement's long position.| Airports vs. CP ALL Public | Airports vs. PTT Public | Airports vs. Kasikornbank Public | Airports vs. Bangkok Dusit Medical |
| Siam Cement vs. Grande Hospitality Real | Siam Cement vs. Bumrungrad Hospital Public | Siam Cement vs. Rich Sport Public | Siam Cement vs. Sri panwa Hospitality |
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 Instant Ratings module to determine any equity ratings based on digital recommendations. Macroaxis instant equity ratings are based on combination of fundamental analysis and risk-adjusted market performance.
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