Correlation Between Krung Thai and CIMB Thai
Can any of the company-specific risk be diversified away by investing in both Krung Thai and CIMB Thai 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 CIMB Thai 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 CIMB Thai Bank, you can compare the effects of market volatilities on Krung Thai and CIMB Thai 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 CIMB Thai. Check out your portfolio center. Please also check ongoing floating volatility patterns of Krung Thai and CIMB Thai.
Diversification Opportunities for Krung Thai and CIMB Thai
0.09 | Correlation Coefficient |
Significant diversification
The 3 months correlation between Krung and CIMB is 0.09. Overlapping area represents the amount of risk that can be diversified away by holding Krung Thai Bank and CIMB Thai Bank in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on CIMB Thai Bank 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 CIMB Thai. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of CIMB Thai Bank has no effect on the direction of Krung Thai i.e., Krung Thai and CIMB Thai go up and down completely randomly.
Pair Corralation between Krung Thai and CIMB Thai
Assuming the 90 days trading horizon Krung Thai Bank is expected to generate 0.83 times more return on investment than CIMB Thai. However, Krung Thai Bank is 1.21 times less risky than CIMB Thai. It trades about 0.17 of its potential returns per unit of risk. CIMB Thai Bank is currently generating about -0.43 per unit of risk. If you would invest 2,040 in Krung Thai Bank on September 15, 2024 and sell it today you would earn a total of 90.00 from holding Krung Thai Bank or generate 4.41% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Insignificant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Krung Thai Bank vs. CIMB Thai Bank
Performance |
| Timeline |
| Krung Thai Bank |
| CIMB Thai Bank |
Krung Thai and CIMB Thai Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Krung Thai and CIMB Thai
The main advantage of trading using opposite Krung Thai and CIMB Thai positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Krung Thai position performs unexpectedly, CIMB Thai 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 CIMB Thai will offset losses from the drop in CIMB Thai'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 |
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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 Sign In To Macroaxis module to sign in to explore Macroaxis' wealth optimization platform and fintech modules.
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