Correlation Between Erawan and ATP 30
Can any of the company-specific risk be diversified away by investing in both Erawan and ATP 30 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 Erawan and ATP 30 into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between The Erawan Group and ATP 30 Public, you can compare the effects of market volatilities on Erawan and ATP 30 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 Erawan with a short position of ATP 30. Check out your portfolio center. Please also check ongoing floating volatility patterns of Erawan and ATP 30.
Diversification Opportunities for Erawan and ATP 30
Almost no diversification
The 3 months correlation between Erawan and ATP is 0.92. Overlapping area represents the amount of risk that can be diversified away by holding The Erawan Group and ATP 30 Public in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on ATP 30 Public and Erawan 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 The Erawan Group are associated (or correlated) with ATP 30. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of ATP 30 Public has no effect on the direction of Erawan i.e., Erawan and ATP 30 go up and down completely randomly.
Pair Corralation between Erawan and ATP 30
Assuming the 90 days trading horizon Erawan is expected to generate 5.89 times less return on investment than ATP 30. But when comparing it to its historical volatility, The Erawan Group is 1.38 times less risky than ATP 30. It trades about 0.04 of its potential returns per unit of risk. ATP 30 Public is currently generating about 0.18 of returns per unit of risk over similar time horizon. If you would invest 93.00 in ATP 30 Public on September 5, 2024 and sell it today you would earn a total of 10.00 from holding ATP 30 Public or generate 10.75% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
The Erawan Group vs. ATP 30 Public
Performance |
| Timeline |
| Erawan Group |
| ATP 30 Public |
Erawan and ATP 30 Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Erawan and ATP 30
The main advantage of trading using opposite Erawan and ATP 30 positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Erawan position performs unexpectedly, ATP 30 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 ATP 30 will offset losses from the drop in ATP 30's long position.| Erawan vs. Central Plaza Hotel | Erawan vs. Minor International Public | Erawan vs. Central Pattana Public | Erawan vs. CP ALL Public |
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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 Analyst Advice module to analyst recommendations and target price estimates broken down by several categories.
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