Correlation Between PTT Public and Krung Thai
Can any of the company-specific risk be diversified away by investing in both PTT Public and Krung 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 PTT Public and Krung Thai into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between PTT Public and Krung Thai Bank, you can compare the effects of market volatilities on PTT Public and Krung 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 PTT Public with a short position of Krung Thai. Check out your portfolio center. Please also check ongoing floating volatility patterns of PTT Public and Krung Thai.
Diversification Opportunities for PTT Public and Krung Thai
0.03 | Correlation Coefficient |
Significant diversification
The 3 months correlation between PTT and Krung is 0.03. Overlapping area represents the amount of risk that can be diversified away by holding PTT Public and Krung Thai Bank in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Krung Thai Bank 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 Krung Thai. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Krung Thai Bank has no effect on the direction of PTT Public i.e., PTT Public and Krung Thai go up and down completely randomly.
Pair Corralation between PTT Public and Krung Thai
Assuming the 90 days trading horizon PTT Public is expected to generate 1.77 times less return on investment than Krung Thai. But when comparing it to its historical volatility, PTT Public is 1.24 times less risky than Krung Thai. It trades about 0.02 of its potential returns per unit of risk. Krung Thai Bank is currently generating about 0.03 of returns per unit of risk over similar time horizon. If you would invest 1,836 in Krung Thai Bank on August 28, 2024 and sell it today you would earn a total of 214.00 from holding Krung Thai Bank or generate 11.66% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Insignificant |
| Accuracy | 99.71% |
| Values | Daily Returns |
PTT Public vs. Krung Thai Bank
Performance |
| Timeline |
| PTT Public |
| Krung Thai Bank |
PTT Public and Krung Thai Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with PTT Public and Krung Thai
The main advantage of trading using opposite PTT Public and Krung Thai positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if PTT Public position performs unexpectedly, Krung 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 Krung Thai will offset losses from the drop in Krung Thai's 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 |
| Krung Thai vs. Bangkok Bank Public | Krung Thai vs. SCB X Public | Krung Thai vs. Kasikornbank Public | Krung Thai vs. PTT Public |
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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