Correlation Between Siam Steel and SGF Capital
Can any of the company-specific risk be diversified away by investing in both Siam Steel and SGF 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 Siam Steel and SGF Capital into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Siam Steel International and SGF Capital Public, you can compare the effects of market volatilities on Siam Steel and SGF 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 Siam Steel with a short position of SGF Capital. Check out your portfolio center. Please also check ongoing floating volatility patterns of Siam Steel and SGF Capital.
Diversification Opportunities for Siam Steel and SGF Capital
0.79 | Correlation Coefficient |
Poor diversification
The 3 months correlation between Siam and SGF is 0.79. Overlapping area represents the amount of risk that can be diversified away by holding Siam Steel International and SGF Capital Public in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on SGF Capital Public and Siam Steel 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 Steel International are associated (or correlated) with SGF Capital. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of SGF Capital Public has no effect on the direction of Siam Steel i.e., Siam Steel and SGF Capital go up and down completely randomly.
Pair Corralation between Siam Steel and SGF Capital
Assuming the 90 days trading horizon Siam Steel International is expected to under-perform the SGF Capital. But the stock apears to be less risky and, when comparing its historical volatility, Siam Steel International is 1.53 times less risky than SGF Capital. The stock trades about -0.22 of its potential returns per unit of risk. The SGF Capital Public is currently generating about -0.07 of returns per unit of risk over similar time horizon. If you would invest 25.00 in SGF Capital Public on September 13, 2024 and sell it today you would lose (1.00) from holding SGF Capital Public or give up 4.0% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Siam Steel International vs. SGF Capital Public
Performance |
| Timeline |
| Siam Steel International |
| SGF Capital Public |
Siam Steel and SGF Capital Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Siam Steel and SGF Capital
The main advantage of trading using opposite Siam Steel and SGF Capital positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Siam Steel position performs unexpectedly, SGF 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 SGF Capital will offset losses from the drop in SGF Capital's long position.| Siam Steel vs. Tata Steel Public | Siam Steel vs. TTCL Public | Siam Steel vs. Thaifoods Group Public | Siam Steel vs. TMT Steel Public |
| SGF Capital vs. Power Solution Technologies | SGF Capital vs. RS Public | SGF Capital vs. Siam Steel International | SGF Capital vs. RPCG 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 Portfolio Optimization module to compute new portfolio that will generate highest expected return given your specified tolerance for risk.
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