Correlation Between Sakol Energy and Siamgas
Can any of the company-specific risk be diversified away by investing in both Sakol Energy 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 Sakol Energy and Siamgas into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Sakol Energy Public and Siamgas and Petrochemicals, you can compare the effects of market volatilities on Sakol Energy 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 Sakol Energy with a short position of Siamgas. Check out your portfolio center. Please also check ongoing floating volatility patterns of Sakol Energy and Siamgas.
Diversification Opportunities for Sakol Energy and Siamgas
0.8 | Correlation Coefficient |
Very poor diversification
The 3 months correlation between Sakol and Siamgas is 0.8. Overlapping area represents the amount of risk that can be diversified away by holding Sakol Energy Public 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 Sakol Energy 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 Sakol Energy Public 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 Sakol Energy i.e., Sakol Energy and Siamgas go up and down completely randomly.
Pair Corralation between Sakol Energy and Siamgas
Assuming the 90 days trading horizon Sakol Energy Public is expected to under-perform the Siamgas. In addition to that, Sakol Energy is 3.24 times more volatile than Siamgas and Petrochemicals. It trades about -0.11 of its total potential returns per unit of risk. Siamgas and Petrochemicals is currently generating about -0.12 per unit of volatility. If you would invest 715.00 in Siamgas and Petrochemicals on September 25, 2024 and sell it today you would lose (15.00) from holding Siamgas and Petrochemicals or give up 2.1% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Strong |
| Accuracy | 95.0% |
| Values | Daily Returns |
Sakol Energy Public vs. Siamgas and Petrochemicals
Performance |
| Timeline |
| Sakol Energy Public |
| Siamgas and Petroche |
Sakol Energy and Siamgas Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Sakol Energy and Siamgas
The main advantage of trading using opposite Sakol Energy and Siamgas positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Sakol Energy 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.| Sakol Energy vs. Siamgas and Petrochemicals | Sakol Energy vs. Star Petroleum Refining | Sakol Energy vs. PTG Energy PCL | Sakol Energy vs. IRPC Public |
| Siamgas vs. PTT Public | Siamgas vs. The Siam Cement | Siamgas vs. SCB X Public | Siamgas vs. Kasikornbank 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 Instant Ratings module to determine any equity ratings based on digital recommendations. Macroaxis instant equity ratings are based on combination of fundamental analysis and risk-adjusted market performance.
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