Correlation Between PTT Global and Sinopec Shanghai
Can any of the company-specific risk be diversified away by investing in both PTT Global and Sinopec Shanghai 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 PTT Global and Sinopec Shanghai into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between PTT Global Chemical and Sinopec Shanghai Petrochemical, you can compare the effects of market volatilities on PTT Global and Sinopec Shanghai 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 PTT Global with a short position of Sinopec Shanghai. Check out your portfolio center. Please also check ongoing floating volatility patterns of PTT Global and Sinopec Shanghai.
Diversification Opportunities for PTT Global and Sinopec Shanghai
0.03 | Correlation Coefficient |
Significant diversification
The 3 months correlation between PTT and Sinopec is 0.03. Overlapping area represents the amount of risk that can be diversified away by holding PTT Global Chemical and Sinopec Shanghai Petrochemical in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Sinopec Shanghai Pet and PTT Global 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 PTT Global Chemical are associated (or correlated) with Sinopec Shanghai. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Sinopec Shanghai Pet has no effect on the direction of PTT Global i.e., PTT Global and Sinopec Shanghai go up and down completely randomly.
Pair Corralation between PTT Global and Sinopec Shanghai
Assuming the 90 days trading horizon PTT Global Chemical is expected to generate 0.57 times more return on investment than Sinopec Shanghai. However, PTT Global Chemical is 1.76 times less risky than Sinopec Shanghai. It trades about 0.12 of its potential returns per unit of risk. Sinopec Shanghai Petrochemical is currently generating about 0.02 per unit of risk. If you would invest 62.00 in PTT Global Chemical on August 28, 2024 and sell it today you would earn a total of 4.00 from holding PTT Global Chemical or generate 6.45% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Insignificant |
| Accuracy | 100.0% |
| Values | Daily Returns |
PTT Global Chemical vs. Sinopec Shanghai Petrochemical
Performance |
| Timeline |
| PTT Global Chemical |
| Sinopec Shanghai Pet |
PTT Global and Sinopec Shanghai Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with PTT Global and Sinopec Shanghai
The main advantage of trading using opposite PTT Global and Sinopec Shanghai positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if PTT Global position performs unexpectedly, Sinopec Shanghai 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 Sinopec Shanghai will offset losses from the drop in Sinopec Shanghai's long position.The idea behind PTT Global Chemical and Sinopec Shanghai Petrochemical pairs trading is to make the combined position market-neutral, meaning the overall market's direction will not affect its win or loss (or potential downside or upside). This can be achieved by designing a pairs trade with two highly correlated stocks or equities that operate in a similar space or sector, making it possible to obtain profits through simple and relatively low-risk investment.| Sinopec Shanghai vs. Superior Plus Corp | Sinopec Shanghai vs. NMI Holdings | Sinopec Shanghai vs. Origin Agritech | Sinopec Shanghai vs. SIVERS SEMICONDUCTORS AB |
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 Efficient Frontier module to plot and analyze your portfolio and positions against risk-return landscape of the market..
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