Correlation Between Siam Cement and SG Capital
Can any of the company-specific risk be diversified away by investing in both Siam Cement and SG 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 Cement and SG Capital 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 SG Capital PCL, you can compare the effects of market volatilities on Siam Cement and SG 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 Cement with a short position of SG Capital. Check out your portfolio center. Please also check ongoing floating volatility patterns of Siam Cement and SG Capital.
Diversification Opportunities for Siam Cement and SG Capital
0.63 | Correlation Coefficient |
Poor diversification
The 3 months correlation between Siam and SGC is 0.63. Overlapping area represents the amount of risk that can be diversified away by holding The Siam Cement and SG Capital PCL in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on SG Capital PCL 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 SG Capital. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of SG Capital PCL has no effect on the direction of Siam Cement i.e., Siam Cement and SG Capital go up and down completely randomly.
Pair Corralation between Siam Cement and SG Capital
Assuming the 90 days trading horizon The Siam Cement is expected to generate 0.31 times more return on investment than SG Capital. However, The Siam Cement is 3.25 times less risky than SG Capital. It trades about -0.08 of its potential returns per unit of risk. SG Capital PCL is currently generating about -0.04 per unit of risk. If you would invest 31,782 in The Siam Cement on September 3, 2024 and sell it today you would lose (13,432) from holding The Siam Cement or give up 42.26% 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. SG Capital PCL
Performance |
| Timeline |
| Siam Cement |
| SG Capital PCL |
Siam Cement and SG Capital Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Siam Cement and SG Capital
The main advantage of trading using opposite Siam Cement and SG Capital positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Siam Cement position performs unexpectedly, SG 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 SG Capital will offset losses from the drop in SG Capital's long position.| Siam Cement vs. Rojana Industrial Park | Siam Cement vs. CPR Gomu Industrial | Siam Cement vs. BPS TECHNOLOGY PUBLIC | Siam Cement vs. 2S Metal Public |
| SG Capital vs. Delta Electronics Public | SG Capital vs. Delta Electronics Public | SG Capital vs. Airports of Thailand | SG Capital vs. Airports of Thailand |
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 Backtesting module to avoid under-diversification and over-optimization by backtesting your portfolios.
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