Correlation Between Siam Cement and Bangkok Aviation
Can any of the company-specific risk be diversified away by investing in both Siam Cement and Bangkok Aviation 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 Cement and Bangkok Aviation into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between The Siam Cement and Bangkok Aviation Fuel, you can compare the effects of market volatilities on Siam Cement and Bangkok Aviation 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 Cement with a short position of Bangkok Aviation. Check out your portfolio center. Please also check ongoing floating volatility patterns of Siam Cement and Bangkok Aviation.
Diversification Opportunities for Siam Cement and Bangkok Aviation
0.69 | Correlation Coefficient |
Poor diversification
The 3 months correlation between Siam and Bangkok is 0.69. Overlapping area represents the amount of risk that can be diversified away by holding The Siam Cement and Bangkok Aviation Fuel in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Bangkok Aviation Fuel and Siam Cement 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 Cement are associated (or correlated) with Bangkok Aviation. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Bangkok Aviation Fuel has no effect on the direction of Siam Cement i.e., Siam Cement and Bangkok Aviation go up and down completely randomly.
Pair Corralation between Siam Cement and Bangkok Aviation
Assuming the 90 days trading horizon The Siam Cement is expected to generate 1.11 times more return on investment than Bangkok Aviation. However, Siam Cement is 1.11 times more volatile than Bangkok Aviation Fuel. It trades about -0.07 of its potential returns per unit of risk. Bangkok Aviation Fuel is currently generating about -0.14 per unit of risk. If you would invest 32,812 in The Siam Cement on November 9, 2024 and sell it today you would lose (18,212) from holding The Siam Cement or give up 55.5% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
The Siam Cement vs. Bangkok Aviation Fuel
Performance |
| Timeline |
| Siam Cement |
| Bangkok Aviation Fuel |
Siam Cement and Bangkok Aviation Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Siam Cement and Bangkok Aviation
The main advantage of trading using opposite Siam Cement and Bangkok Aviation positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Siam Cement position performs unexpectedly, Bangkok Aviation 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 Bangkok Aviation will offset losses from the drop in Bangkok Aviation's long position.| Siam Cement vs. PTT Public | Siam Cement vs. The Siam Commercial | Siam Cement vs. Airports of Thailand | Siam Cement vs. CP ALL Public |
| Bangkok Aviation vs. Bangchak Public | Bangkok Aviation vs. Airports of Thailand | Bangkok Aviation vs. AP Public | Bangkok Aviation vs. Central Pattana 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 Diagnostics module to use generated alerts and portfolio events aggregator to diagnose current holdings.
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