Correlation Between Siam Commercial and Alpha Divisions
Can any of the company-specific risk be diversified away by investing in both Siam Commercial and Alpha Divisions 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 Siam Commercial and Alpha Divisions into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between The Siam Commercial and Alpha Divisions PCL, you can compare the effects of market volatilities on Siam Commercial and Alpha Divisions 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 Siam Commercial with a short position of Alpha Divisions. Check out your portfolio center. Please also check ongoing floating volatility patterns of Siam Commercial and Alpha Divisions.
Diversification Opportunities for Siam Commercial and Alpha Divisions
0.01 | Correlation Coefficient |
Significant diversification
The 3 months correlation between Siam and Alpha is 0.01. Overlapping area represents the amount of risk that can be diversified away by holding The Siam Commercial and Alpha Divisions PCL in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Alpha Divisions PCL and Siam Commercial 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 The Siam Commercial are associated (or correlated) with Alpha Divisions. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Alpha Divisions PCL has no effect on the direction of Siam Commercial i.e., Siam Commercial and Alpha Divisions go up and down completely randomly.
Pair Corralation between Siam Commercial and Alpha Divisions
Assuming the 90 days trading horizon The Siam Commercial is expected to generate 1.41 times more return on investment than Alpha Divisions. However, Siam Commercial is 1.41 times more volatile than Alpha Divisions PCL. It trades about 0.06 of its potential returns per unit of risk. Alpha Divisions PCL is currently generating about 0.04 per unit of risk. If you would invest 10,303 in The Siam Commercial on September 3, 2024 and sell it today you would earn a total of 1,147 from holding The Siam Commercial or generate 11.13% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Insignificant |
| Accuracy | 100.0% |
| Values | Daily Returns |
The Siam Commercial vs. Alpha Divisions PCL
Performance |
| Timeline |
| Siam Commercial |
| Alpha Divisions PCL |
Siam Commercial and Alpha Divisions Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Siam Commercial and Alpha Divisions
The main advantage of trading using opposite Siam Commercial and Alpha Divisions positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Siam Commercial position performs unexpectedly, Alpha Divisions 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 Alpha Divisions will offset losses from the drop in Alpha Divisions' long position.| Siam Commercial vs. PTT Public | Siam Commercial vs. CP ALL Public | Siam Commercial vs. SCB X Public | Siam Commercial vs. Airports of Thailand |
| Alpha Divisions vs. Asia Biomass Public | Alpha Divisions vs. Akkhie Prakarn Public | Alpha Divisions vs. AIRA Factoring Public | Alpha Divisions vs. Infraset 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 Portfolio Volatility module to check portfolio volatility and analyze historical return density to properly model market risk.
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