Correlation Between Siam Pan and Dow Jones
Can any of the company-specific risk be diversified away by investing in both Siam Pan and Dow Jones 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 Pan and Dow Jones into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Siam Pan Group and Dow Jones Industrial, you can compare the effects of market volatilities on Siam Pan and Dow Jones 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 Pan with a short position of Dow Jones. Check out your portfolio center. Please also check ongoing floating volatility patterns of Siam Pan and Dow Jones.
Diversification Opportunities for Siam Pan and Dow Jones
Significant diversification
The 3 months correlation between Siam and Dow is 0.05. Overlapping area represents the amount of risk that can be diversified away by holding Siam Pan Group and Dow Jones Industrial in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Dow Jones Industrial and Siam Pan 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 Pan Group are associated (or correlated) with Dow Jones. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Dow Jones Industrial has no effect on the direction of Siam Pan i.e., Siam Pan and Dow Jones go up and down completely randomly.
Pair Corralation between Siam Pan and Dow Jones
Assuming the 90 days trading horizon Siam Pan Group is expected to generate 156.9 times more return on investment than Dow Jones. However, Siam Pan is 156.9 times more volatile than Dow Jones Industrial. It trades about 0.11 of its potential returns per unit of risk. Dow Jones Industrial is currently generating about 0.14 per unit of risk. If you would invest 1,520 in Siam Pan Group on September 3, 2024 and sell it today you would lose (160.00) from holding Siam Pan Group or give up 10.53% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Insignificant |
| Accuracy | 97.95% |
| Values | Daily Returns |
Siam Pan Group vs. Dow Jones Industrial
Performance |
| Timeline |
Siam Pan and Dow Jones Volatility Contrast
Predicted Return Density |
| Returns |
Siam Pan Group
Pair trading matchups for Siam Pan
Dow Jones Industrial
Pair trading matchups for Dow Jones
Pair Trading with Siam Pan and Dow Jones
The main advantage of trading using opposite Siam Pan and Dow Jones positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Siam Pan position performs unexpectedly, Dow Jones 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 Dow Jones will offset losses from the drop in Dow Jones' long position.| Siam Pan vs. PTT Public | Siam Pan vs. PTT Exploration and | Siam Pan vs. The Siam Cement | Siam Pan vs. CP ALL 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 Portfolio Diagnostics module to use generated alerts and portfolio events aggregator to diagnose current holdings.
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