Correlation Between ATT and PTT PCL
Can any of the company-specific risk be diversified away by investing in both ATT and PTT PCL 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 ATT and PTT PCL into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between ATT Inc and PTT PCL ADR, you can compare the effects of market volatilities on ATT and PTT PCL 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 ATT with a short position of PTT PCL. Check out your portfolio center. Please also check ongoing floating volatility patterns of ATT and PTT PCL.
Diversification Opportunities for ATT and PTT PCL
Poor diversification
The 3 months correlation between ATT and PTT is 0.78. Overlapping area represents the amount of risk that can be diversified away by holding ATT Inc and PTT PCL ADR in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on PTT PCL ADR and ATT 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 ATT Inc are associated (or correlated) with PTT PCL. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of PTT PCL ADR has no effect on the direction of ATT i.e., ATT and PTT PCL go up and down completely randomly.
Pair Corralation between ATT and PTT PCL
Taking into account the 90-day investment horizon ATT is expected to generate 1.27 times less return on investment than PTT PCL. But when comparing it to its historical volatility, ATT Inc is 1.11 times less risky than PTT PCL. It trades about 0.19 of its potential returns per unit of risk. PTT PCL ADR is currently generating about 0.22 of returns per unit of risk over similar time horizon. If you would invest 495.00 in PTT PCL ADR on August 28, 2024 and sell it today you would earn a total of 27.00 from holding PTT PCL ADR or generate 5.45% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 95.45% |
| Values | Daily Returns |
ATT Inc vs. PTT PCL ADR
Performance |
| Timeline |
| ATT Inc |
| PTT PCL ADR |
ATT and PTT PCL Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with ATT and PTT PCL
The main advantage of trading using opposite ATT and PTT PCL positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if ATT position performs unexpectedly, PTT PCL 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 PTT PCL will offset losses from the drop in PTT PCL's long position.| ATT vs. Liberty Broadband Srs | ATT vs. Ribbon Communications | ATT vs. Liberty Broadband Srs | ATT vs. Shenandoah Telecommunications Co |
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 Bonds Directory module to find actively traded corporate debentures issued by US companies.
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