Correlation Between Siam City and Siam Cement
Can any of the company-specific risk be diversified away by investing in both Siam City and Siam Cement 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 Siam Cement 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 The Siam Cement, you can compare the effects of market volatilities on Siam City and Siam Cement 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 Siam Cement. Check out your portfolio center. Please also check ongoing floating volatility patterns of Siam City and Siam Cement.
Diversification Opportunities for Siam City and Siam Cement
0.58 | Correlation Coefficient |
Very weak diversification
The 3 months correlation between Siam and Siam is 0.58. Overlapping area represents the amount of risk that can be diversified away by holding Siam City Cement and The Siam Cement in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Siam Cement 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 Siam Cement. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Siam Cement has no effect on the direction of Siam City i.e., Siam City and Siam Cement go up and down completely randomly.
Pair Corralation between Siam City and Siam Cement
Assuming the 90 days trading horizon Siam City Cement is expected to generate 0.54 times more return on investment than Siam Cement. However, Siam City Cement is 1.86 times less risky than Siam Cement. It trades about -0.05 of its potential returns per unit of risk. The Siam Cement is currently generating about -0.25 per unit of risk. If you would invest 16,050 in Siam City Cement on November 27, 2024 and sell it today you would lose (150.00) from holding Siam City Cement or give up 0.93% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
Siam City Cement vs. The Siam Cement
Performance |
| Timeline |
| Siam City Cement |
| Siam Cement |
Siam City and Siam Cement Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Siam City and Siam Cement
The main advantage of trading using opposite Siam City and Siam Cement positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Siam City position performs unexpectedly, Siam Cement 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 Cement will offset losses from the drop in Siam Cement's 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 |
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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 Ceiling Movement module to calculate and plot Price Ceiling Movement for different equity instruments.
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