Correlation Between PTT Public and Selic Corp
Can any of the company-specific risk be diversified away by investing in both PTT Public and Selic Corp 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 Selic Corp into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between PTT Public and Selic Corp Public, you can compare the effects of market volatilities on PTT Public and Selic Corp 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 Selic Corp. Check out your portfolio center. Please also check ongoing floating volatility patterns of PTT Public and Selic Corp.
Diversification Opportunities for PTT Public and Selic Corp
-0.19 | Correlation Coefficient |
Good diversification
The 3 months correlation between PTT and Selic is -0.19. Overlapping area represents the amount of risk that can be diversified away by holding PTT Public and Selic Corp Public in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Selic Corp Public 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 Selic Corp. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Selic Corp Public has no effect on the direction of PTT Public i.e., PTT Public and Selic Corp go up and down completely randomly.
Pair Corralation between PTT Public and Selic Corp
Assuming the 90 days trading horizon PTT Public is expected to generate 62.83 times less return on investment than Selic Corp. But when comparing it to its historical volatility, PTT Public is 42.87 times less risky than Selic Corp. It trades about 0.03 of its potential returns per unit of risk. Selic Corp Public is currently generating about 0.04 of returns per unit of risk over similar time horizon. If you would invest 259.00 in Selic Corp Public on September 12, 2024 and sell it today you would earn a total of 63.00 from holding Selic Corp Public or generate 24.32% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Insignificant |
| Accuracy | 100.0% |
| Values | Daily Returns |
PTT Public vs. Selic Corp Public
Performance |
| Timeline |
| PTT Public |
| Selic Corp Public |
PTT Public and Selic Corp Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with PTT Public and Selic Corp
The main advantage of trading using opposite PTT Public and Selic Corp positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if PTT Public position performs unexpectedly, Selic Corp 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 Selic Corp will offset losses from the drop in Selic Corp'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 |
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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 Portfolio Volatility module to check portfolio volatility and analyze historical return density to properly model market risk.
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