Correlation Between Siam Commercial and IRPC Public
Can any of the company-specific risk be diversified away by investing in both Siam Commercial and IRPC Public 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 IRPC Public 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 IRPC Public, you can compare the effects of market volatilities on Siam Commercial and IRPC Public 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 IRPC Public. Check out your portfolio center. Please also check ongoing floating volatility patterns of Siam Commercial and IRPC Public.
Diversification Opportunities for Siam Commercial and IRPC Public
0.51 | Correlation Coefficient |
Very weak diversification
The 3 months correlation between Siam and IRPC is 0.51. Overlapping area represents the amount of risk that can be diversified away by holding The Siam Commercial and IRPC Public in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on IRPC Public 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 IRPC Public. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of IRPC Public has no effect on the direction of Siam Commercial i.e., Siam Commercial and IRPC Public go up and down completely randomly.
Pair Corralation between Siam Commercial and IRPC Public
Assuming the 90 days trading horizon The Siam Commercial is expected to generate 1.41 times more return on investment than IRPC Public. However, Siam Commercial is 1.41 times more volatile than IRPC Public. It trades about 0.08 of its potential returns per unit of risk. IRPC Public is currently generating about 0.05 per unit of risk. If you would invest 10,945 in The Siam Commercial on September 4, 2024 and sell it today you would earn a total of 605.00 from holding The Siam Commercial or generate 5.53% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
The Siam Commercial vs. IRPC Public
Performance |
| Timeline |
| Siam Commercial |
| IRPC Public |
Siam Commercial and IRPC Public Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Siam Commercial and IRPC Public
The main advantage of trading using opposite Siam Commercial and IRPC Public positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Siam Commercial position performs unexpectedly, IRPC Public 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 IRPC Public will offset losses from the drop in IRPC Public's long position.| Siam Commercial vs. The Siam Cement | Siam Commercial vs. Krung Thai Bank | Siam Commercial vs. Airports of Thailand | Siam Commercial vs. Kasikornbank Public |
| IRPC Public vs. PTT Global Chemical | IRPC Public vs. PTT Public | IRPC Public vs. PTT Exploration and | IRPC Public vs. Thai Oil 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 Watchlist Optimization module to optimize watchlists to build efficient portfolios or rebalance existing positions based on the mean-variance optimization algorithm.
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