Correlation Between Japan Tobacco and TMBThanachart Bank
Can any of the company-specific risk be diversified away by investing in both Japan Tobacco and TMBThanachart Bank 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 Japan Tobacco and TMBThanachart Bank into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Japan Tobacco and TMBThanachart Bank Public, you can compare the effects of market volatilities on Japan Tobacco and TMBThanachart Bank 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 Japan Tobacco with a short position of TMBThanachart Bank. Check out your portfolio center. Please also check ongoing floating volatility patterns of Japan Tobacco and TMBThanachart Bank.
Diversification Opportunities for Japan Tobacco and TMBThanachart Bank
0.2 | Correlation Coefficient |
Modest diversification
The 3 months correlation between Japan and TMBThanachart is 0.2. Overlapping area represents the amount of risk that can be diversified away by holding Japan Tobacco and TMBThanachart Bank Public in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on TMBThanachart Bank Public and Japan Tobacco 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 Japan Tobacco are associated (or correlated) with TMBThanachart Bank. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of TMBThanachart Bank Public has no effect on the direction of Japan Tobacco i.e., Japan Tobacco and TMBThanachart Bank go up and down completely randomly.
Pair Corralation between Japan Tobacco and TMBThanachart Bank
Assuming the 90 days horizon Japan Tobacco is expected to generate 1.0 times less return on investment than TMBThanachart Bank. But when comparing it to its historical volatility, Japan Tobacco is 1.09 times less risky than TMBThanachart Bank. It trades about 0.04 of its potential returns per unit of risk. TMBThanachart Bank Public is currently generating about 0.04 of returns per unit of risk over similar time horizon. If you would invest 3.85 in TMBThanachart Bank Public on October 7, 2024 and sell it today you would earn a total of 1.15 from holding TMBThanachart Bank Public or generate 29.87% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
Japan Tobacco vs. TMBThanachart Bank Public
Performance |
| Timeline |
| Japan Tobacco |
| TMBThanachart Bank Public |
Japan Tobacco and TMBThanachart Bank Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Japan Tobacco and TMBThanachart Bank
The main advantage of trading using opposite Japan Tobacco and TMBThanachart Bank positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Japan Tobacco position performs unexpectedly, TMBThanachart Bank 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 TMBThanachart Bank will offset losses from the drop in TMBThanachart Bank's long position.| Japan Tobacco vs. Southwest Airlines Co | Japan Tobacco vs. AGNC INVESTMENT | Japan Tobacco vs. Nok Airlines PCL | Japan Tobacco vs. Virtus Investment Partners |
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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 USA ETFs module to find actively traded Exchange Traded Funds (ETF) in USA.
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