Correlation Between Siam Commercial and Principal Capital
Can any of the company-specific risk be diversified away by investing in both Siam Commercial and Principal Capital 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 Principal Capital 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 Principal Capital Public, you can compare the effects of market volatilities on Siam Commercial and Principal Capital 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 Principal Capital. Check out your portfolio center. Please also check ongoing floating volatility patterns of Siam Commercial and Principal Capital.
Diversification Opportunities for Siam Commercial and Principal Capital
0.61 | Correlation Coefficient |
Poor diversification
The 3 months correlation between Siam and Principal is 0.61. Overlapping area represents the amount of risk that can be diversified away by holding The Siam Commercial and Principal Capital Public in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Principal Capital 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 Principal Capital. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Principal Capital Public has no effect on the direction of Siam Commercial i.e., Siam Commercial and Principal Capital go up and down completely randomly.
Pair Corralation between Siam Commercial and Principal Capital
Assuming the 90 days trading horizon The Siam Commercial is expected to generate 1.4 times more return on investment than Principal Capital. However, Siam Commercial is 1.4 times more volatile than Principal Capital Public. It trades about 0.16 of its potential returns per unit of risk. Principal Capital Public is currently generating about 0.11 per unit of risk. If you would invest 10,945 in The Siam Commercial on September 2, 2024 and sell it today you would earn a total of 505.00 from holding The Siam Commercial or generate 4.61% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
The Siam Commercial vs. Principal Capital Public
Performance |
| Timeline |
| Siam Commercial |
| Principal Capital Public |
Siam Commercial and Principal Capital Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Siam Commercial and Principal Capital
The main advantage of trading using opposite Siam Commercial and Principal Capital positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Siam Commercial position performs unexpectedly, Principal Capital 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 Principal Capital will offset losses from the drop in Principal Capital's 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 |
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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 Price Transformation module to use Price Transformation models to analyze the depth of different equity instruments across global markets.
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