Correlation Between Krung Thai and Bangkok Bank
Can any of the company-specific risk be diversified away by investing in both Krung Thai and Bangkok 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 Krung Thai and Bangkok Bank into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Krung Thai Bank and Bangkok Bank Public, you can compare the effects of market volatilities on Krung Thai and Bangkok 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 Krung Thai with a short position of Bangkok Bank. Check out your portfolio center. Please also check ongoing floating volatility patterns of Krung Thai and Bangkok Bank.
Diversification Opportunities for Krung Thai and Bangkok Bank
0.68 | Correlation Coefficient |
Poor diversification
The 3 months correlation between Krung and Bangkok is 0.68. Overlapping area represents the amount of risk that can be diversified away by holding Krung Thai Bank and Bangkok Bank Public in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Bangkok Bank Public and Krung Thai 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 Krung Thai Bank are associated (or correlated) with Bangkok Bank. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Bangkok Bank Public has no effect on the direction of Krung Thai i.e., Krung Thai and Bangkok Bank go up and down completely randomly.
Pair Corralation between Krung Thai and Bangkok Bank
Assuming the 90 days trading horizon Krung Thai Bank is expected to generate 1.48 times more return on investment than Bangkok Bank. However, Krung Thai is 1.48 times more volatile than Bangkok Bank Public. It trades about 0.18 of its potential returns per unit of risk. Bangkok Bank Public is currently generating about 0.06 per unit of risk. If you would invest 2,110 in Krung Thai Bank on October 20, 2024 and sell it today you would earn a total of 100.00 from holding Krung Thai Bank or generate 4.74% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Krung Thai Bank vs. Bangkok Bank Public
Performance |
| Timeline |
| Krung Thai Bank |
| Bangkok Bank Public |
Krung Thai and Bangkok Bank Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Krung Thai and Bangkok Bank
The main advantage of trading using opposite Krung Thai and Bangkok Bank positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Krung Thai position performs unexpectedly, Bangkok 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 Bangkok Bank will offset losses from the drop in Bangkok Bank's long position.| Krung Thai vs. Bangkok Bank Public | Krung Thai vs. SCB X Public | Krung Thai vs. Kasikornbank Public | Krung Thai vs. PTT Public |
| Bangkok Bank vs. SCB X Public | Bangkok Bank vs. Kasikornbank Public | Bangkok Bank vs. PTT Public | Bangkok Bank vs. The Siam Cement |
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 Portfolio Holdings module to check your current holdings and cash postion to detemine if your portfolio needs rebalancing.
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