Correlation Between IRPC Public and Siamgas
Can any of the company-specific risk be diversified away by investing in both IRPC Public and Siamgas 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 IRPC Public and Siamgas into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between IRPC Public and Siamgas and Petrochemicals, you can compare the effects of market volatilities on IRPC Public and Siamgas 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 IRPC Public with a short position of Siamgas. Check out your portfolio center. Please also check ongoing floating volatility patterns of IRPC Public and Siamgas.
Diversification Opportunities for IRPC Public and Siamgas
0.76 | Correlation Coefficient |
Poor diversification
The 3 months correlation between IRPC and Siamgas is 0.76. Overlapping area represents the amount of risk that can be diversified away by holding IRPC Public and Siamgas and Petrochemicals in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Siamgas and Petroche and IRPC Public 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 IRPC Public are associated (or correlated) with Siamgas. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Siamgas and Petroche has no effect on the direction of IRPC Public i.e., IRPC Public and Siamgas go up and down completely randomly.
Pair Corralation between IRPC Public and Siamgas
Assuming the 90 days trading horizon IRPC Public is expected to generate 1.04 times less return on investment than Siamgas. In addition to that, IRPC Public is 1.0 times more volatile than Siamgas and Petrochemicals. It trades about 0.05 of its total potential returns per unit of risk. Siamgas and Petrochemicals is currently generating about 0.05 per unit of volatility. If you would invest 787.00 in Siamgas and Petrochemicals on September 12, 2024 and sell it today you would lose (87.00) from holding Siamgas and Petrochemicals or give up 11.05% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
IRPC Public vs. Siamgas and Petrochemicals
Performance |
| Timeline |
| IRPC Public |
| Siamgas and Petroche |
IRPC Public and Siamgas Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with IRPC Public and Siamgas
The main advantage of trading using opposite IRPC Public and Siamgas positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if IRPC Public position performs unexpectedly, Siamgas 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 Siamgas will offset losses from the drop in Siamgas' long position.| IRPC Public vs. Bangchak Public | IRPC Public vs. PTT Exploration and | IRPC Public vs. Star Petroleum Refining | IRPC Public vs. PTG Energy PCL |
| Siamgas vs. Bangchak Public | Siamgas vs. IRPC Public | Siamgas vs. PTT Exploration and | Siamgas vs. Star Petroleum Refining |
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 Pattern Recognition module to use different Pattern Recognition models to time the market across multiple global exchanges.
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