Correlation Between CP ALL and TMT Steel
Can any of the company-specific risk be diversified away by investing in both CP ALL and TMT Steel 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 TMT Steel 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 TMT Steel Public, you can compare the effects of market volatilities on CP ALL and TMT Steel 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 TMT Steel. Check out your portfolio center. Please also check ongoing floating volatility patterns of CP ALL and TMT Steel.
Diversification Opportunities for CP ALL and TMT Steel
Modest diversification
The 3 months correlation between CPALL and TMT is 0.26. Overlapping area represents the amount of risk that can be diversified away by holding CP ALL Public and TMT Steel Public in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on TMT Steel 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 TMT Steel. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of TMT Steel Public has no effect on the direction of CP ALL i.e., CP ALL and TMT Steel go up and down completely randomly.
Pair Corralation between CP ALL and TMT Steel
Assuming the 90 days trading horizon CP ALL Public is expected to generate 0.97 times more return on investment than TMT Steel. However, CP ALL Public is 1.03 times less risky than TMT Steel. It trades about -0.07 of its potential returns per unit of risk. TMT Steel Public is currently generating about -0.91 per unit of risk. If you would invest 6,425 in CP ALL Public on August 28, 2024 and sell it today you would lose (100.00) from holding CP ALL Public or give up 1.56% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
CP ALL Public vs. TMT Steel Public
Performance |
| Timeline |
| CP ALL Public |
| TMT Steel Public |
CP ALL and TMT Steel Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with CP ALL and TMT Steel
The main advantage of trading using opposite CP ALL and TMT Steel positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if CP ALL position performs unexpectedly, TMT Steel 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 TMT Steel will offset losses from the drop in TMT Steel'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 |
| TMT Steel vs. MCS Steel Public | TMT Steel vs. Thai Vegetable Oil | TMT Steel vs. Pacific Pipe Public | TMT Steel vs. Tipco Foods 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 Competition Analyzer module to analyze and compare many basic indicators for a group of related or unrelated entities.
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