Correlation Between CP ALL and Thai Rung
Can any of the company-specific risk be diversified away by investing in both CP ALL and Thai Rung 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 Thai Rung 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 Thai Rung Union, you can compare the effects of market volatilities on CP ALL and Thai Rung 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 Thai Rung. Check out your portfolio center. Please also check ongoing floating volatility patterns of CP ALL and Thai Rung.
Diversification Opportunities for CP ALL and Thai Rung
Good diversification
The 3 months correlation between CPALL and Thai is -0.11. Overlapping area represents the amount of risk that can be diversified away by holding CP ALL Public and Thai Rung Union in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Thai Rung Union 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 Thai Rung. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Thai Rung Union has no effect on the direction of CP ALL i.e., CP ALL and Thai Rung go up and down completely randomly.
Pair Corralation between CP ALL and Thai Rung
Assuming the 90 days trading horizon CP ALL Public is expected to under-perform the Thai Rung. But the stock apears to be less risky and, when comparing its historical volatility, CP ALL Public is 32.75 times less risky than Thai Rung. The stock trades about -0.01 of its potential returns per unit of risk. The Thai Rung Union is currently generating about 0.04 of returns per unit of risk over similar time horizon. If you would invest 494.00 in Thai Rung Union on November 27, 2024 and sell it today you would lose (184.00) from holding Thai Rung Union or give up 37.25% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Insignificant |
| Accuracy | 100.0% |
| Values | Daily Returns |
CP ALL Public vs. Thai Rung Union
Performance |
| Timeline |
| CP ALL Public |
| Thai Rung Union |
CP ALL and Thai Rung Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with CP ALL and Thai Rung
The main advantage of trading using opposite CP ALL and Thai Rung positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if CP ALL position performs unexpectedly, Thai Rung 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 Thai Rung will offset losses from the drop in Thai Rung'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 |
| Thai Rung vs. Thoresen Thai Agencies | Thai Rung vs. Regional Container Lines | Thai Rung vs. Vanachai Group Public | Thai Rung vs. Thai Vegetable Oil |
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 Fundamental Analysis module to view fundamental data based on most recent published financial statements.
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