Correlation Between Bangkok Expressway and Kiatnakin Phatra
Can any of the company-specific risk be diversified away by investing in both Bangkok Expressway and Kiatnakin Phatra 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 Expressway and Kiatnakin Phatra into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Bangkok Expressway and and Kiatnakin Phatra Bank, you can compare the effects of market volatilities on Bangkok Expressway and Kiatnakin Phatra 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 Expressway with a short position of Kiatnakin Phatra. Check out your portfolio center. Please also check ongoing floating volatility patterns of Bangkok Expressway and Kiatnakin Phatra.
Diversification Opportunities for Bangkok Expressway and Kiatnakin Phatra
0.13 | Correlation Coefficient |
Average diversification
The 3 months correlation between Bangkok and Kiatnakin is 0.13. Overlapping area represents the amount of risk that can be diversified away by holding Bangkok Expressway and and Kiatnakin Phatra Bank in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Kiatnakin Phatra Bank and Bangkok Expressway 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 Expressway and are associated (or correlated) with Kiatnakin Phatra. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Kiatnakin Phatra Bank has no effect on the direction of Bangkok Expressway i.e., Bangkok Expressway and Kiatnakin Phatra go up and down completely randomly.
Pair Corralation between Bangkok Expressway and Kiatnakin Phatra
Assuming the 90 days trading horizon Bangkok Expressway and is expected to under-perform the Kiatnakin Phatra. But the stock apears to be less risky and, when comparing its historical volatility, Bangkok Expressway and is 1.14 times less risky than Kiatnakin Phatra. The stock trades about -0.03 of its potential returns per unit of risk. The Kiatnakin Phatra Bank is currently generating about -0.03 of returns per unit of risk over similar time horizon. If you would invest 6,362 in Kiatnakin Phatra Bank on September 2, 2024 and sell it today you would lose (1,362) from holding Kiatnakin Phatra Bank or give up 21.41% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Insignificant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Bangkok Expressway and vs. Kiatnakin Phatra Bank
Performance |
| Timeline |
| Bangkok Expressway and |
| Kiatnakin Phatra Bank |
Bangkok Expressway and Kiatnakin Phatra Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Bangkok Expressway and Kiatnakin Phatra
The main advantage of trading using opposite Bangkok Expressway and Kiatnakin Phatra positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Bangkok Expressway position performs unexpectedly, Kiatnakin Phatra 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 Kiatnakin Phatra will offset losses from the drop in Kiatnakin Phatra's long position.| Bangkok Expressway vs. BTS Group Holdings | Bangkok Expressway vs. Bangkok Dusit Medical | Bangkok Expressway vs. Airports of Thailand | Bangkok Expressway vs. CP ALL 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 Insider Screener module to find insiders across different sectors to evaluate their impact on performance.
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