Correlation Between CP ALL and Siam Pan
Can any of the company-specific risk be diversified away by investing in both CP ALL and Siam Pan 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 CP ALL and Siam Pan into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between CP ALL Public and Siam Pan Group, you can compare the effects of market volatilities on CP ALL and Siam Pan 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 CP ALL with a short position of Siam Pan. Check out your portfolio center. Please also check ongoing floating volatility patterns of CP ALL and Siam Pan.
Diversification Opportunities for CP ALL and Siam Pan
Significant diversification
The 3 months correlation between CPALL and Siam is 0.03. Overlapping area represents the amount of risk that can be diversified away by holding CP ALL Public and Siam Pan Group in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Siam Pan Group and CP ALL 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 CP ALL Public are associated (or correlated) with Siam Pan. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Siam Pan Group has no effect on the direction of CP ALL i.e., CP ALL and Siam Pan go up and down completely randomly.
Pair Corralation between CP ALL and Siam Pan
Assuming the 90 days trading horizon CP ALL is expected to generate 194.56 times less return on investment than Siam Pan. But when comparing it to its historical volatility, CP ALL Public is 62.21 times less risky than Siam Pan. It trades about 0.02 of its potential returns per unit of risk. Siam Pan Group is currently generating about 0.08 of returns per unit of risk over similar time horizon. If you would invest 1,453 in Siam Pan Group on September 4, 2024 and sell it today you would lose (93.00) from holding Siam Pan Group or give up 6.4% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Insignificant |
| Accuracy | 99.64% |
| Values | Daily Returns |
CP ALL Public vs. Siam Pan Group
Performance |
| Timeline |
| CP ALL Public |
| Siam Pan Group |
CP ALL and Siam Pan Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with CP ALL and Siam Pan
The main advantage of trading using opposite CP ALL and Siam Pan positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if CP ALL position performs unexpectedly, Siam Pan 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 Siam Pan will offset losses from the drop in Siam Pan's long position.| CP ALL vs. Airports of Thailand | CP ALL vs. PTT Public | CP ALL vs. Bangkok Dusit Medical | CP ALL vs. Kasikornbank Public |
| Siam Pan vs. Sahamitr Pressure Container | Siam Pan vs. Siam Steel Service | Siam Pan vs. Thai Stanley Electric | Siam Pan vs. SP Syndicate Public |
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 Diagnostics module to use generated alerts and portfolio events aggregator to diagnose current holdings.
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