Correlation Between Stock Exchange and SG Capital
Can any of the company-specific risk be diversified away by investing in both Stock Exchange and SG Capital 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 Stock Exchange and SG Capital into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Stock Exchange Of and SG Capital PCL, you can compare the effects of market volatilities on Stock Exchange and SG Capital 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 Stock Exchange with a short position of SG Capital. Check out your portfolio center. Please also check ongoing floating volatility patterns of Stock Exchange and SG Capital.
Diversification Opportunities for Stock Exchange and SG Capital
0.38 | Correlation Coefficient |
Weak diversification
The 3 months correlation between Stock and SGC is 0.38. Overlapping area represents the amount of risk that can be diversified away by holding Stock Exchange Of and SG Capital PCL in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on SG Capital PCL and Stock Exchange 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 Stock Exchange Of are associated (or correlated) with SG Capital. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of SG Capital PCL has no effect on the direction of Stock Exchange i.e., Stock Exchange and SG Capital go up and down completely randomly.
Pair Corralation between Stock Exchange and SG Capital
Assuming the 90 days trading horizon Stock Exchange Of is expected to generate 0.17 times more return on investment than SG Capital. However, Stock Exchange Of is 5.98 times less risky than SG Capital. It trades about -0.03 of its potential returns per unit of risk. SG Capital PCL is currently generating about -0.01 per unit of risk. If you would invest 155,511 in Stock Exchange Of on September 1, 2024 and sell it today you would lose (12,757) from holding Stock Exchange Of or give up 8.2% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Weak |
| Accuracy | 99.73% |
| Values | Daily Returns |
Stock Exchange Of vs. SG Capital PCL
Performance |
| Timeline |
Stock Exchange and SG Capital Volatility Contrast
Predicted Return Density |
| Returns |
Stock Exchange Of
Pair trading matchups for Stock Exchange
SG Capital PCL
Pair trading matchups for SG Capital
Pair Trading with Stock Exchange and SG Capital
The main advantage of trading using opposite Stock Exchange and SG Capital positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Stock Exchange position performs unexpectedly, SG Capital 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 SG Capital will offset losses from the drop in SG Capital's long position.| Stock Exchange vs. Porn Prom Metal | Stock Exchange vs. WHA Industrial Leasehold | Stock Exchange vs. 2S Metal Public | Stock Exchange vs. Turnkey Communication Services |
| SG Capital vs. Jay Mart Public | SG Capital vs. Singer Thailand Public | SG Capital vs. JMT Network Services | SG Capital vs. Muangthai Capital 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 Volatility Analysis module to get historical volatility and risk analysis based on latest market data.
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