Correlation Between Bangkok Bank and Bank of Ayudhya
Can any of the company-specific risk be diversified away by investing in both Bangkok Bank and Bank of Ayudhya 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 Bangkok Bank and Bank of Ayudhya into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Bangkok Bank Public and Bank of Ayudhya, you can compare the effects of market volatilities on Bangkok Bank and Bank of Ayudhya 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 Bangkok Bank with a short position of Bank of Ayudhya. Check out your portfolio center. Please also check ongoing floating volatility patterns of Bangkok Bank and Bank of Ayudhya.
Diversification Opportunities for Bangkok Bank and Bank of Ayudhya
0.81 | Correlation Coefficient |
Very poor diversification
The 3 months correlation between Bangkok and Bank is 0.81. Overlapping area represents the amount of risk that can be diversified away by holding Bangkok Bank Public and Bank of Ayudhya in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Bank of Ayudhya and Bangkok Bank 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 Bangkok Bank Public are associated (or correlated) with Bank of Ayudhya. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Bank of Ayudhya has no effect on the direction of Bangkok Bank i.e., Bangkok Bank and Bank of Ayudhya go up and down completely randomly.
Pair Corralation between Bangkok Bank and Bank of Ayudhya
Assuming the 90 days trading horizon Bangkok Bank is expected to generate 2.51 times less return on investment than Bank of Ayudhya. In addition to that, Bangkok Bank is 1.44 times more volatile than Bank of Ayudhya. It trades about 0.02 of its total potential returns per unit of risk. Bank of Ayudhya is currently generating about 0.07 per unit of volatility. If you would invest 2,500 in Bank of Ayudhya on August 24, 2024 and sell it today you would earn a total of 25.00 from holding Bank of Ayudhya or generate 1.0% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Strong |
| Accuracy | 95.45% |
| Values | Daily Returns |
Bangkok Bank Public vs. Bank of Ayudhya
Performance |
| Timeline |
| Bangkok Bank Public |
| Bank of Ayudhya |
Bangkok Bank and Bank of Ayudhya Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Bangkok Bank and Bank of Ayudhya
The main advantage of trading using opposite Bangkok Bank and Bank of Ayudhya positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Bangkok Bank position performs unexpectedly, Bank of Ayudhya 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 Bank of Ayudhya will offset losses from the drop in Bank of Ayudhya's long position.| Bangkok Bank vs. SCB X Public | Bangkok Bank vs. Kasikornbank Public | Bangkok Bank vs. PTT Public | Bangkok Bank vs. The Siam Cement |
| Bank of Ayudhya vs. Bangkok Bank Public | Bank of Ayudhya vs. Krung Thai Bank | Bank of Ayudhya vs. SCB X Public | Bank of Ayudhya vs. Kasikornbank Public |
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 Efficient Frontier module to plot and analyze your portfolio and positions against risk-return landscape of the market..
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