Correlation Between Erawan and SPCG Public
Can any of the company-specific risk be diversified away by investing in both Erawan and SPCG 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 Erawan and SPCG Public 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 SPCG Public, you can compare the effects of market volatilities on Erawan and SPCG 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 Erawan with a short position of SPCG Public. Check out your portfolio center. Please also check ongoing floating volatility patterns of Erawan and SPCG Public.
Diversification Opportunities for Erawan and SPCG Public
0.31 | Correlation Coefficient |
Weak diversification
The 3 months correlation between Erawan and SPCG is 0.31. Overlapping area represents the amount of risk that can be diversified away by holding The Erawan Group and SPCG Public in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on SPCG 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 SPCG Public. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of SPCG Public has no effect on the direction of Erawan i.e., Erawan and SPCG Public go up and down completely randomly.
Pair Corralation between Erawan and SPCG Public
Assuming the 90 days trading horizon The Erawan Group is expected to generate 35.15 times more return on investment than SPCG Public. However, Erawan is 35.15 times more volatile than SPCG Public. It trades about 0.04 of its potential returns per unit of risk. SPCG Public is currently generating about -0.05 per unit of risk. If you would invest 441.00 in The Erawan Group on September 4, 2024 and sell it today you would lose (45.00) from holding The Erawan Group or give up 10.2% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Weak |
| Accuracy | 99.79% |
| Values | Daily Returns |
The Erawan Group vs. SPCG Public
Performance |
| Timeline |
| Erawan Group |
| SPCG Public |
Erawan and SPCG Public Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Erawan and SPCG Public
The main advantage of trading using opposite Erawan and SPCG Public positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Erawan position performs unexpectedly, SPCG 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 SPCG Public will offset losses from the drop in SPCG Public'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 Performance Analysis module to check effects of mean-variance optimization against your current asset allocation.
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