Correlation Between Siam Cement and Siamgas
Can any of the company-specific risk be diversified away by investing in both Siam Cement and Siamgas 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 Siamgas 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 Siamgas and Petrochemicals, you can compare the effects of market volatilities on Siam Cement and Siamgas 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 Siamgas. Check out your portfolio center. Please also check ongoing floating volatility patterns of Siam Cement and Siamgas.
Diversification Opportunities for Siam Cement and Siamgas
0.07 | Correlation Coefficient |
Significant diversification
The 3 months correlation between Siam and Siamgas is 0.07. Overlapping area represents the amount of risk that can be diversified away by holding The Siam Cement and Siamgas and Petrochemicals in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Siamgas and Petroche 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 Siamgas. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Siamgas and Petroche has no effect on the direction of Siam Cement i.e., Siam Cement and Siamgas go up and down completely randomly.
Pair Corralation between Siam Cement and Siamgas
Assuming the 90 days trading horizon The Siam Cement is expected to under-perform the Siamgas. But the stock apears to be less risky and, when comparing its historical volatility, The Siam Cement is 49.5 times less risky than Siamgas. The stock trades about -0.1 of its potential returns per unit of risk. The Siamgas and Petrochemicals is currently generating about 0.08 of returns per unit of risk over similar time horizon. If you would invest 734.00 in Siamgas and Petrochemicals on September 3, 2024 and sell it today you would lose (24.00) from holding Siamgas and Petrochemicals or give up 3.27% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Insignificant |
| Accuracy | 100.0% |
| Values | Daily Returns |
The Siam Cement vs. Siamgas and Petrochemicals
Performance |
| Timeline |
| Siam Cement |
| Siamgas and Petroche |
Siam Cement and Siamgas Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Siam Cement and Siamgas
The main advantage of trading using opposite Siam Cement and Siamgas positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Siam Cement position performs unexpectedly, Siamgas 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 Siamgas will offset losses from the drop in Siamgas' 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 |
| Siamgas vs. PTT Public | Siamgas vs. SCB X Public | Siamgas vs. The Siam Commercial | Siamgas vs. The Siam Cement |
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 Rebalancing module to analyze risk-adjusted returns against different time horizons to find asset-allocation targets.
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