Correlation Between Siam Cement and Siam Commercial
Can any of the company-specific risk be diversified away by investing in both Siam Cement and Siam Commercial 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 Siam Commercial 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 The Siam Commercial, you can compare the effects of market volatilities on Siam Cement and Siam Commercial 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 Siam Commercial. Check out your portfolio center. Please also check ongoing floating volatility patterns of Siam Cement and Siam Commercial.
Diversification Opportunities for Siam Cement and Siam Commercial
-0.6 | Correlation Coefficient |
Excellent diversification
The 3 months correlation between Siam and Siam is -0.6. Overlapping area represents the amount of risk that can be diversified away by holding The Siam Cement and The Siam Commercial in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Siam Commercial 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 Siam Commercial. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Siam Commercial has no effect on the direction of Siam Cement i.e., Siam Cement and Siam Commercial go up and down completely randomly.
Pair Corralation between Siam Cement and Siam Commercial
Assuming the 90 days trading horizon The Siam Cement is expected to under-perform the Siam Commercial. But the stock apears to be less risky and, when comparing its historical volatility, The Siam Cement is 31.4 times less risky than Siam Commercial. The stock trades about -0.07 of its potential returns per unit of risk. The The Siam Commercial is currently generating about 0.06 of returns per unit of risk over similar time horizon. If you would invest 10,400 in The Siam Commercial on November 19, 2024 and sell it today you would earn a total of 1,650 from holding The Siam Commercial or generate 15.87% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
The Siam Cement vs. The Siam Commercial
Performance |
| Timeline |
| Siam Cement |
| Siam Commercial |
Siam Cement and Siam Commercial Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Siam Cement and Siam Commercial
The main advantage of trading using opposite Siam Cement and Siam Commercial positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Siam Cement position performs unexpectedly, Siam Commercial 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 Siam Commercial will offset losses from the drop in Siam Commercial'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 |
| Siam Commercial vs. The Siam Cement | Siam Commercial vs. Krung Thai Bank | Siam Commercial vs. Airports of Thailand | Siam Commercial vs. Kasikornbank 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 Pattern Recognition module to use different Pattern Recognition models to time the market across multiple global exchanges.
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