Correlation Between CP ALL and STPI Public
Can any of the company-specific risk be diversified away by investing in both CP ALL and STPI Public 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 STPI Public 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 STPI Public, you can compare the effects of market volatilities on CP ALL and STPI Public 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 STPI Public. Check out your portfolio center. Please also check ongoing floating volatility patterns of CP ALL and STPI Public.
Diversification Opportunities for CP ALL and STPI Public
0.56 | Correlation Coefficient |
Very weak diversification
The 3 months correlation between CPALL and STPI is 0.56. Overlapping area represents the amount of risk that can be diversified away by holding CP ALL Public and STPI Public in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on STPI Public 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 STPI Public. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of STPI Public has no effect on the direction of CP ALL i.e., CP ALL and STPI Public go up and down completely randomly.
Pair Corralation between CP ALL and STPI Public
Assuming the 90 days trading horizon CP ALL Public is expected to generate 0.53 times more return on investment than STPI Public. However, CP ALL Public is 1.9 times less risky than STPI Public. It trades about -0.24 of its potential returns per unit of risk. STPI Public is currently generating about -0.35 per unit of risk. If you would invest 6,450 in CP ALL Public on September 3, 2024 and sell it today you would lose (325.00) from holding CP ALL Public or give up 5.04% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
CP ALL Public vs. STPI Public
Performance |
| Timeline |
| CP ALL Public |
| STPI Public |
CP ALL and STPI Public Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with CP ALL and STPI Public
The main advantage of trading using opposite CP ALL and STPI Public positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if CP ALL position performs unexpectedly, STPI Public 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 STPI Public will offset losses from the drop in STPI Public'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 |
| STPI Public vs. PTT Public | STPI Public vs. PTT Exploration and | STPI Public vs. The Siam Cement | STPI Public vs. CP ALL 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 Rebalancing module to analyze risk-adjusted returns against different time horizons to find asset-allocation targets.
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