Correlation Between Siam City and Dow Jones
Can any of the company-specific risk be diversified away by investing in both Siam City and Dow Jones 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 City and Dow Jones into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Siam City Cement and Dow Jones Industrial, you can compare the effects of market volatilities on Siam City and Dow Jones 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 City with a short position of Dow Jones. Check out your portfolio center. Please also check ongoing floating volatility patterns of Siam City and Dow Jones.
Diversification Opportunities for Siam City and Dow Jones
Very good diversification
The 3 months correlation between Siam and Dow is -0.23. Overlapping area represents the amount of risk that can be diversified away by holding Siam City Cement and Dow Jones Industrial in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Dow Jones Industrial and Siam City 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 Siam City Cement are associated (or correlated) with Dow Jones. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Dow Jones Industrial has no effect on the direction of Siam City i.e., Siam City and Dow Jones go up and down completely randomly.
Pair Corralation between Siam City and Dow Jones
Assuming the 90 days trading horizon Siam City is expected to generate 1.0 times less return on investment than Dow Jones. In addition to that, Siam City is 1.52 times more volatile than Dow Jones Industrial. It trades about 0.05 of its total potential returns per unit of risk. Dow Jones Industrial is currently generating about 0.08 per unit of volatility. If you would invest 3,358,652 in Dow Jones Industrial on November 27, 2024 and sell it today you would earn a total of 987,469 from holding Dow Jones Industrial or generate 29.4% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Insignificant |
| Accuracy | 97.03% |
| Values | Daily Returns |
Siam City Cement vs. Dow Jones Industrial
Performance |
| Timeline |
Siam City and Dow Jones Volatility Contrast
Predicted Return Density |
| Returns |
Siam City Cement
Pair trading matchups for Siam City
Dow Jones Industrial
Pair trading matchups for Dow Jones
Pair Trading with Siam City and Dow Jones
The main advantage of trading using opposite Siam City and Dow Jones positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Siam City position performs unexpectedly, Dow Jones 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 Dow Jones will offset losses from the drop in Dow Jones' long position.| Siam City vs. The Siam Cement | Siam City vs. SCB X Public | Siam City vs. Bangkok Bank Public | Siam City vs. PTT 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 Price Transformation module to use Price Transformation models to analyze the depth of different equity instruments across global markets.
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