Correlation Between GM and Siam City
Can any of the company-specific risk be diversified away by investing in both GM and Siam City 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 GM and Siam City into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between General Motors and Siam City Cement, you can compare the effects of market volatilities on GM and Siam City 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 GM with a short position of Siam City. Check out your portfolio center. Please also check ongoing floating volatility patterns of GM and Siam City.
Diversification Opportunities for GM and Siam City
Good diversification
The 3 months correlation between GM and Siam is -0.04. Overlapping area represents the amount of risk that can be diversified away by holding General Motors and Siam City Cement in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Siam City Cement and GM 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 General Motors are associated (or correlated) with Siam City. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Siam City Cement has no effect on the direction of GM i.e., GM and Siam City go up and down completely randomly.
Pair Corralation between GM and Siam City
Allowing for the 90-day total investment horizon General Motors is expected to under-perform the Siam City. In addition to that, GM is 4.6 times more volatile than Siam City Cement. It trades about -0.05 of its total potential returns per unit of risk. Siam City Cement is currently generating about -0.06 per unit of volatility. If you would invest 16,300 in Siam City Cement on November 3, 2024 and sell it today you would lose (150.00) from holding Siam City Cement or give up 0.92% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Insignificant |
| Accuracy | 91.3% |
| Values | Daily Returns |
General Motors vs. Siam City Cement
Performance |
| Timeline |
| General Motors |
| Siam City Cement |
GM and Siam City Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with GM and Siam City
The main advantage of trading using opposite GM and Siam City positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if GM position performs unexpectedly, Siam City 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 Siam City will offset losses from the drop in Siam City's long position.The idea behind General Motors and Siam City Cement 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.| Siam City vs. The Siam Cement | Siam City vs. SCB X Public | Siam City vs. Bangkok Bank Public | Siam City vs. PTT 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 Efficient Frontier module to plot and analyze your portfolio and positions against risk-return landscape of the market..
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