Correlation Between PTT Public and Sakol Energy
Can any of the company-specific risk be diversified away by investing in both PTT Public and Sakol Energy 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 Sakol Energy into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between PTT Public and Sakol Energy Public, you can compare the effects of market volatilities on PTT Public and Sakol Energy 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 Sakol Energy. Check out your portfolio center. Please also check ongoing floating volatility patterns of PTT Public and Sakol Energy.
Diversification Opportunities for PTT Public and Sakol Energy
0.77 | Correlation Coefficient |
Poor diversification
The 3 months correlation between PTT and Sakol is 0.77. Overlapping area represents the amount of risk that can be diversified away by holding PTT Public and Sakol Energy Public in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Sakol Energy 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 Sakol Energy. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Sakol Energy Public has no effect on the direction of PTT Public i.e., PTT Public and Sakol Energy go up and down completely randomly.
Pair Corralation between PTT Public and Sakol Energy
Assuming the 90 days trading horizon PTT Public is expected to under-perform the Sakol Energy. But the stock apears to be less risky and, when comparing its historical volatility, PTT Public is 2.44 times less risky than Sakol Energy. The stock trades about -0.27 of its potential returns per unit of risk. The Sakol Energy Public is currently generating about -0.1 of returns per unit of risk over similar time horizon. If you would invest 31.00 in Sakol Energy Public on September 22, 2024 and sell it today you would lose (2.00) from holding Sakol Energy Public or give up 6.45% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 95.24% |
| Values | Daily Returns |
PTT Public vs. Sakol Energy Public
Performance |
| Timeline |
| PTT Public |
| Sakol Energy Public |
PTT Public and Sakol Energy Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with PTT Public and Sakol Energy
The main advantage of trading using opposite PTT Public and Sakol Energy positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if PTT Public position performs unexpectedly, Sakol Energy 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 Sakol Energy will offset losses from the drop in Sakol Energy's long position.The idea behind PTT Public and Sakol Energy Public pairs trading is to make the combined position market-neutral, meaning the overall market's direction will not affect its win or loss (or potential downside or upside). This can be achieved by designing a pairs trade with two highly correlated stocks or equities that operate in a similar space or sector, making it possible to obtain profits through simple and relatively low-risk investment.| Sakol Energy vs. Siamgas and Petrochemicals | Sakol Energy vs. Star Petroleum Refining | Sakol Energy vs. PTG Energy PCL | Sakol Energy vs. IRPC 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 Performance Analysis module to check effects of mean-variance optimization against your current asset allocation.
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