Correlation Between BCAP SET100 and BCAP Mid
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By analyzing existing cross correlation between BCAP SET100 and BCAP Mid Small, you can compare the effects of market volatilities on BCAP SET100 and BCAP Mid 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 BCAP SET100 with a short position of BCAP Mid. Check out your portfolio center. Please also check ongoing floating volatility patterns of BCAP SET100 and BCAP Mid.
Diversification Opportunities for BCAP SET100 and BCAP Mid
0.59 | Correlation Coefficient |
Very weak diversification
The 3 months correlation between BCAP and BCAP is 0.59. Overlapping area represents the amount of risk that can be diversified away by holding BCAP SET100 and BCAP Mid Small in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on BCAP Mid Small and BCAP SET100 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 BCAP SET100 are associated (or correlated) with BCAP Mid. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of BCAP Mid Small has no effect on the direction of BCAP SET100 i.e., BCAP SET100 and BCAP Mid go up and down completely randomly.
Pair Corralation between BCAP SET100 and BCAP Mid
Assuming the 90 days trading horizon BCAP SET100 is expected to generate 1.99 times less return on investment than BCAP Mid. But when comparing it to its historical volatility, BCAP SET100 is 1.41 times less risky than BCAP Mid. It trades about 0.05 of its potential returns per unit of risk. BCAP Mid Small is currently generating about 0.06 of returns per unit of risk over similar time horizon. If you would invest 1,037 in BCAP Mid Small on August 29, 2024 and sell it today you would lose (135.00) from holding BCAP Mid Small or give up 13.02% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
BCAP SET100 vs. BCAP Mid Small
Performance |
| Timeline |
| BCAP SET100 |
| BCAP Mid Small |
BCAP SET100 and BCAP Mid Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with BCAP SET100 and BCAP Mid
The main advantage of trading using opposite BCAP SET100 and BCAP Mid positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if BCAP SET100 position performs unexpectedly, BCAP Mid 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 BCAP Mid will offset losses from the drop in BCAP Mid's long position.| BCAP SET100 vs. ThaiDex SET50 Exchange | BCAP SET100 vs. WISE KTAM CSI | BCAP SET100 vs. ThaiDEX SET High | BCAP SET100 vs. MTrack Energy ETF |
| BCAP Mid vs. BCAP SET100 | BCAP Mid vs. BCAP MSCI Thailand | BCAP Mid vs. United Hero ETF | BCAP Mid vs. WISE KTAM CSI |
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 Equity Valuation module to check real value of public entities based on technical and fundamental data.
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