Correlation Between BTS Group and Bangkok Land
Can any of the company-specific risk be diversified away by investing in both BTS Group and Bangkok Land 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 BTS Group and Bangkok Land into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between BTS Group Holdings and Bangkok Land Public, you can compare the effects of market volatilities on BTS Group and Bangkok Land 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 BTS Group with a short position of Bangkok Land. Check out your portfolio center. Please also check ongoing floating volatility patterns of BTS Group and Bangkok Land.
Diversification Opportunities for BTS Group and Bangkok Land
0.01 | Correlation Coefficient |
Significant diversification
The 3 months correlation between BTS and Bangkok is 0.01. Overlapping area represents the amount of risk that can be diversified away by holding BTS Group Holdings and Bangkok Land Public in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Bangkok Land Public and BTS Group 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 BTS Group Holdings are associated (or correlated) with Bangkok Land. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Bangkok Land Public has no effect on the direction of BTS Group i.e., BTS Group and Bangkok Land go up and down completely randomly.
Pair Corralation between BTS Group and Bangkok Land
Assuming the 90 days trading horizon BTS Group Holdings is expected to generate 1.69 times more return on investment than Bangkok Land. However, BTS Group is 1.69 times more volatile than Bangkok Land Public. It trades about 0.29 of its potential returns per unit of risk. Bangkok Land Public is currently generating about -0.06 per unit of risk. If you would invest 496.00 in BTS Group Holdings on September 1, 2024 and sell it today you would earn a total of 59.00 from holding BTS Group Holdings or generate 11.9% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Insignificant |
| Accuracy | 100.0% |
| Values | Daily Returns |
BTS Group Holdings vs. Bangkok Land Public
Performance |
| Timeline |
| BTS Group Holdings |
| Bangkok Land Public |
BTS Group and Bangkok Land Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with BTS Group and Bangkok Land
The main advantage of trading using opposite BTS Group and Bangkok Land positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if BTS Group position performs unexpectedly, Bangkok Land 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 Bangkok Land will offset losses from the drop in Bangkok Land's long position.| BTS Group vs. Bangkok Expressway and | BTS Group vs. CP ALL Public | BTS Group vs. Airports of Thailand | BTS Group vs. Bangkok Dusit Medical |
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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 Portfolio Volatility module to check portfolio volatility and analyze historical return density to properly model market risk.
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