Correlation Between Ba Ria and Pha Le
Can any of the company-specific risk be diversified away by investing in both Ba Ria and Pha Le 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 Ba Ria and Pha Le into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Ba Ria Thermal and Pha Le Plastics, you can compare the effects of market volatilities on Ba Ria and Pha Le 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 Ba Ria with a short position of Pha Le. Check out your portfolio center. Please also check ongoing floating volatility patterns of Ba Ria and Pha Le.
Diversification Opportunities for Ba Ria and Pha Le
Poor diversification
The 3 months correlation between BTP and Pha is 0.73. Overlapping area represents the amount of risk that can be diversified away by holding Ba Ria Thermal and Pha Le Plastics in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Pha Le Plastics and Ba Ria 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 Ba Ria Thermal are associated (or correlated) with Pha Le. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Pha Le Plastics has no effect on the direction of Ba Ria i.e., Ba Ria and Pha Le go up and down completely randomly.
Pair Corralation between Ba Ria and Pha Le
Assuming the 90 days trading horizon Ba Ria Thermal is expected to under-perform the Pha Le. But the stock apears to be less risky and, when comparing its historical volatility, Ba Ria Thermal is 1.86 times less risky than Pha Le. The stock trades about -0.22 of its potential returns per unit of risk. The Pha Le Plastics is currently generating about -0.06 of returns per unit of risk over similar time horizon. If you would invest 518,000 in Pha Le Plastics on September 2, 2024 and sell it today you would lose (67,000) from holding Pha Le Plastics or give up 12.93% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 99.22% |
| Values | Daily Returns |
Ba Ria Thermal vs. Pha Le Plastics
Performance |
| Timeline |
| Ba Ria Thermal |
| Pha Le Plastics |
Ba Ria and Pha Le Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Ba Ria and Pha Le
The main advantage of trading using opposite Ba Ria and Pha Le positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Ba Ria position performs unexpectedly, Pha Le 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 Pha Le will offset losses from the drop in Pha Le's long position.The idea behind Ba Ria Thermal and Pha Le Plastics pairs trading is to make the combined position market-neutral, meaning the overall market's direction will not affect its win or loss (or potential downside or upside). This can be achieved by designing a pairs trade with two highly correlated stocks or equities that operate in a similar space or sector, making it possible to obtain profits through simple and relatively low-risk investment.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 Idea Analyzer module to analyze all characteristics, volatility and risk-adjusted return of Macroaxis ideas.
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