Correlation Between Banpu Public and MCS Steel
Can any of the company-specific risk be diversified away by investing in both Banpu Public and MCS Steel 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 Banpu Public and MCS Steel into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Banpu Public and MCS Steel Public, you can compare the effects of market volatilities on Banpu Public and MCS Steel 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 Banpu Public with a short position of MCS Steel. Check out your portfolio center. Please also check ongoing floating volatility patterns of Banpu Public and MCS Steel.
Diversification Opportunities for Banpu Public and MCS Steel
0.72 | Correlation Coefficient |
Poor diversification
The 3 months correlation between Banpu and MCS is 0.72. Overlapping area represents the amount of risk that can be diversified away by holding Banpu Public and MCS Steel Public in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on MCS Steel Public and Banpu Public 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 Banpu Public are associated (or correlated) with MCS Steel. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of MCS Steel Public has no effect on the direction of Banpu Public i.e., Banpu Public and MCS Steel go up and down completely randomly.
Pair Corralation between Banpu Public and MCS Steel
Assuming the 90 days trading horizon Banpu Public is expected to generate 56.36 times less return on investment than MCS Steel. But when comparing it to its historical volatility, Banpu Public is 33.91 times less risky than MCS Steel. It trades about 0.05 of its potential returns per unit of risk. MCS Steel Public is currently generating about 0.08 of returns per unit of risk over similar time horizon. If you would invest 628.00 in MCS Steel Public on November 3, 2024 and sell it today you would lose (8.00) from holding MCS Steel Public or give up 1.27% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Banpu Public vs. MCS Steel Public
Performance |
| Timeline |
| Banpu Public |
| MCS Steel Public |
Banpu Public and MCS Steel Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Banpu Public and MCS Steel
The main advantage of trading using opposite Banpu Public and MCS Steel positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Banpu Public position performs unexpectedly, MCS Steel 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 MCS Steel will offset losses from the drop in MCS Steel's long position.| Banpu Public vs. PTT Public | Banpu Public vs. PTT Exploration and | Banpu Public vs. Bangkok Bank Public | Banpu Public vs. Thai Oil Public |
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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 Portfolio Holdings module to check your current holdings and cash postion to detemine if your portfolio needs rebalancing.
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