Correlation Between Bangkok Dusit and Sri Trang
Can any of the company-specific risk be diversified away by investing in both Bangkok Dusit and Sri Trang 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 Dusit and Sri Trang into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Bangkok Dusit Medical and Sri Trang Agro Industry, you can compare the effects of market volatilities on Bangkok Dusit and Sri Trang 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 Dusit with a short position of Sri Trang. Check out your portfolio center. Please also check ongoing floating volatility patterns of Bangkok Dusit and Sri Trang.
Diversification Opportunities for Bangkok Dusit and Sri Trang
0.83 | Correlation Coefficient |
Very poor diversification
The 3 months correlation between Bangkok and Sri is 0.83. Overlapping area represents the amount of risk that can be diversified away by holding Bangkok Dusit Medical and Sri Trang Agro Industry in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Sri Trang Agro and Bangkok Dusit 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 Dusit Medical are associated (or correlated) with Sri Trang. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Sri Trang Agro has no effect on the direction of Bangkok Dusit i.e., Bangkok Dusit and Sri Trang go up and down completely randomly.
Pair Corralation between Bangkok Dusit and Sri Trang
Assuming the 90 days trading horizon Bangkok Dusit is expected to generate 7.34 times less return on investment than Sri Trang. But when comparing it to its historical volatility, Bangkok Dusit Medical is 2.24 times less risky than Sri Trang. It trades about 0.02 of its potential returns per unit of risk. Sri Trang Agro Industry is currently generating about 0.06 of returns per unit of risk over similar time horizon. If you would invest 1,420 in Sri Trang Agro Industry on September 5, 2024 and sell it today you would earn a total of 500.00 from holding Sri Trang Agro Industry or generate 35.21% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
Bangkok Dusit Medical vs. Sri Trang Agro Industry
Performance |
| Timeline |
| Bangkok Dusit Medical |
| Sri Trang Agro |
Bangkok Dusit and Sri Trang Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Bangkok Dusit and Sri Trang
The main advantage of trading using opposite Bangkok Dusit and Sri Trang positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Bangkok Dusit position performs unexpectedly, Sri Trang 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 Sri Trang will offset losses from the drop in Sri Trang's long position.| Bangkok Dusit vs. Bumrungrad Hospital Public | Bangkok Dusit vs. Bangkok Chain Hospital | Bangkok Dusit vs. Ramkhamhaeng Hospital Public | Bangkok Dusit vs. Vibhavadi Medical Center |
| Sri Trang vs. Sri Trang Gloves | Sri Trang vs. Charoen Pokphand Foods | Sri Trang vs. Thai Union Group | Sri Trang vs. The Siam Cement |
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 Optimization module to compute new portfolio that will generate highest expected return given your specified tolerance for risk.
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