Correlation Between Siam Cement and Sri Trang
Can any of the company-specific risk be diversified away by investing in both Siam Cement and Sri Trang 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 Sri Trang 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 Sri Trang Gloves, you can compare the effects of market volatilities on Siam Cement and Sri Trang 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 Sri Trang. Check out your portfolio center. Please also check ongoing floating volatility patterns of Siam Cement and Sri Trang.
Diversification Opportunities for Siam Cement and Sri Trang
0.64 | Correlation Coefficient |
Poor diversification
The 3 months correlation between Siam and Sri is 0.64. Overlapping area represents the amount of risk that can be diversified away by holding The Siam Cement and Sri Trang Gloves in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Sri Trang Gloves 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 Sri Trang. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Sri Trang Gloves has no effect on the direction of Siam Cement i.e., Siam Cement and Sri Trang go up and down completely randomly.
Pair Corralation between Siam Cement and Sri Trang
Assuming the 90 days trading horizon The Siam Cement is expected to under-perform the Sri Trang. But the stock apears to be less risky and, when comparing its historical volatility, The Siam Cement is 1.62 times less risky than Sri Trang. The stock trades about -0.14 of its potential returns per unit of risk. The Sri Trang Gloves is currently generating about -0.05 of returns per unit of risk over similar time horizon. If you would invest 1,040 in Sri Trang Gloves on August 24, 2024 and sell it today you would lose (40.00) from holding Sri Trang Gloves or give up 3.85% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 95.45% |
| Values | Daily Returns |
The Siam Cement vs. Sri Trang Gloves
Performance |
| Timeline |
| Siam Cement |
| Sri Trang Gloves |
Siam Cement and Sri Trang Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Siam Cement and Sri Trang
The main advantage of trading using opposite Siam Cement and Sri Trang positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Siam Cement position performs unexpectedly, Sri Trang 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 Sri Trang will offset losses from the drop in Sri Trang's long position.| Siam Cement vs. PTT Public | Siam Cement vs. PTT Exploration and | Siam Cement vs. CP ALL Public | Siam Cement vs. Kasikornbank Public |
| Sri Trang vs. Megachem Public | Sri Trang vs. NCL International Logistics | Sri Trang vs. The Erawan Group | Sri Trang 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 Positions Ratings module to determine portfolio positions ratings based on digital equity recommendations. Macroaxis instant position ratings are based on combination of fundamental analysis and risk-adjusted market performance.
Other Complementary Tools
| Portfolio Volatility Check portfolio volatility and analyze historical return density to properly model market risk | |
| CEOs Directory Screen CEOs from public companies around the world | |
| Global Correlations Find global opportunities by holding instruments from different markets | |
| Sectors List of equity sectors categorizing publicly traded companies based on their primary business activities | |
| Portfolio Optimization Compute new portfolio that will generate highest expected return given your specified tolerance for risk |