Correlation Between SAF Special and S Hotels
Can any of the company-specific risk be diversified away by investing in both SAF Special and S Hotels 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 SAF Special and S Hotels into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between SAF Special Steel and S Hotels and, you can compare the effects of market volatilities on SAF Special and S Hotels 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 SAF Special with a short position of S Hotels. Check out your portfolio center. Please also check ongoing floating volatility patterns of SAF Special and S Hotels.
Diversification Opportunities for SAF Special and S Hotels
0.75 | Correlation Coefficient |
Poor diversification
The 3 months correlation between SAF and SHR is 0.75. Overlapping area represents the amount of risk that can be diversified away by holding SAF Special Steel and S Hotels and in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on S Hotels and SAF Special 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 SAF Special Steel are associated (or correlated) with S Hotels. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of S Hotels has no effect on the direction of SAF Special i.e., SAF Special and S Hotels go up and down completely randomly.
Pair Corralation between SAF Special and S Hotels
Assuming the 90 days trading horizon SAF Special Steel is expected to under-perform the S Hotels. In addition to that, SAF Special is 1.88 times more volatile than S Hotels and. It trades about -0.03 of its total potential returns per unit of risk. S Hotels and is currently generating about -0.01 per unit of volatility. If you would invest 238.00 in S Hotels and on September 3, 2024 and sell it today you would lose (16.00) from holding S Hotels and or give up 6.72% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
SAF Special Steel vs. S Hotels and
Performance |
| Timeline |
| SAF Special Steel |
| S Hotels |
SAF Special and S Hotels Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with SAF Special and S Hotels
The main advantage of trading using opposite SAF Special and S Hotels positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if SAF Special position performs unexpectedly, S Hotels 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 S Hotels will offset losses from the drop in S Hotels' long position.| SAF Special vs. Diamond Building Products | SAF Special vs. MCS Steel Public | SAF Special vs. Asia Green Energy | SAF Special vs. Hwa Fong Rubber |
| S Hotels vs. Central Plaza Hotel | S Hotels vs. The Erawan Group | S Hotels vs. Minor International Public | S Hotels vs. Advanced Info Service |
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 Idea Analyzer module to analyze all characteristics, volatility and risk-adjusted return of Macroaxis ideas.
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