Correlation Between PTT Public and Airports
Can any of the company-specific risk be diversified away by investing in both PTT Public and Airports 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 PTT Public and Airports into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between PTT Public and Airports of Thailand, you can compare the effects of market volatilities on PTT Public and Airports 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 PTT Public with a short position of Airports. Check out your portfolio center. Please also check ongoing floating volatility patterns of PTT Public and Airports.
Diversification Opportunities for PTT Public and Airports
0.06 | Correlation Coefficient |
Significant diversification
The 3 months correlation between PTT and Airports is 0.06. Overlapping area represents the amount of risk that can be diversified away by holding PTT Public and Airports of Thailand in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Airports of Thailand and PTT 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 PTT Public are associated (or correlated) with Airports. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Airports of Thailand has no effect on the direction of PTT Public i.e., PTT Public and Airports go up and down completely randomly.
Pair Corralation between PTT Public and Airports
Assuming the 90 days trading horizon PTT Public is expected to generate 110.98 times less return on investment than Airports. But when comparing it to its historical volatility, PTT Public is 60.4 times less risky than Airports. It trades about 0.03 of its potential returns per unit of risk. Airports of Thailand is currently generating about 0.06 of returns per unit of risk over similar time horizon. If you would invest 7,397 in Airports of Thailand on August 28, 2024 and sell it today you would lose (1,247) from holding Airports of Thailand or give up 16.86% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Insignificant |
| Accuracy | 99.79% |
| Values | Daily Returns |
PTT Public vs. Airports of Thailand
Performance |
| Timeline |
| PTT Public |
| Airports of Thailand |
PTT Public and Airports Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with PTT Public and Airports
The main advantage of trading using opposite PTT Public and Airports positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if PTT Public position performs unexpectedly, Airports 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 Airports will offset losses from the drop in Airports' long position.| PTT Public vs. PTT Exploration and | PTT Public vs. The Siam Cement | PTT Public vs. CP ALL Public | PTT Public vs. Airports of Thailand |
| Airports vs. CP ALL Public | Airports vs. PTT Public | Airports vs. Bangkok Dusit Medical | Airports 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 Suggestion module to get suggestions outside of your existing asset allocation including your own model portfolios.
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