Correlation Between SHIN ETSU and Siamgas
Can any of the company-specific risk be diversified away by investing in both SHIN ETSU 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 SHIN ETSU and Siamgas into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between SHIN ETSU CHEMICAL and Siamgas And Petrochemicals, you can compare the effects of market volatilities on SHIN ETSU 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 SHIN ETSU with a short position of Siamgas. Check out your portfolio center. Please also check ongoing floating volatility patterns of SHIN ETSU and Siamgas.
Diversification Opportunities for SHIN ETSU and Siamgas
Average diversification
The 3 months correlation between SHIN and Siamgas is 0.12. Overlapping area represents the amount of risk that can be diversified away by holding SHIN ETSU CHEMICAL 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 SHIN ETSU 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 SHIN ETSU CHEMICAL 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 SHIN ETSU i.e., SHIN ETSU and Siamgas go up and down completely randomly.
Pair Corralation between SHIN ETSU and Siamgas
Assuming the 90 days trading horizon SHIN ETSU is expected to generate 3.01 times less return on investment than Siamgas. But when comparing it to its historical volatility, SHIN ETSU CHEMICAL is 3.84 times less risky than Siamgas. It trades about 0.05 of its potential returns per unit of risk. Siamgas And Petrochemicals is currently generating about 0.04 of returns per unit of risk over similar time horizon. If you would invest 11.00 in Siamgas And Petrochemicals on September 3, 2024 and sell it today you would earn a total of 6.00 from holding Siamgas And Petrochemicals or generate 54.55% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Insignificant |
| Accuracy | 100.0% |
| Values | Daily Returns |
SHIN ETSU CHEMICAL vs. Siamgas And Petrochemicals
Performance |
| Timeline |
| SHIN ETSU CHEMICAL |
| Siamgas And Petroche |
SHIN ETSU and Siamgas Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with SHIN ETSU and Siamgas
The main advantage of trading using opposite SHIN ETSU and Siamgas positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if SHIN ETSU 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.| SHIN ETSU vs. GigaMedia | SHIN ETSU vs. ULTRA CLEAN HLDGS | SHIN ETSU vs. FRACTAL GAMING GROUP | SHIN ETSU vs. Hochschild Mining plc |
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 Volatility module to check portfolio volatility and analyze historical return density to properly model market risk.
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