Correlation Between TCM Public and Vanachai Group
Can any of the company-specific risk be diversified away by investing in both TCM Public and Vanachai Group 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 TCM Public and Vanachai Group into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between TCM Public and Vanachai Group Public, you can compare the effects of market volatilities on TCM Public and Vanachai Group 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 TCM Public with a short position of Vanachai Group. Check out your portfolio center. Please also check ongoing floating volatility patterns of TCM Public and Vanachai Group.
Diversification Opportunities for TCM Public and Vanachai Group
0.88 | Correlation Coefficient |
Very poor diversification
The 3 months correlation between TCM and Vanachai is 0.88. Overlapping area represents the amount of risk that can be diversified away by holding TCM Public and Vanachai Group Public in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Vanachai Group Public and TCM Public 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 TCM Public are associated (or correlated) with Vanachai Group. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Vanachai Group Public has no effect on the direction of TCM Public i.e., TCM Public and Vanachai Group go up and down completely randomly.
Pair Corralation between TCM Public and Vanachai Group
Assuming the 90 days trading horizon TCM Public is expected to under-perform the Vanachai Group. In addition to that, TCM Public is 3.49 times more volatile than Vanachai Group Public. It trades about -0.22 of its total potential returns per unit of risk. Vanachai Group Public is currently generating about -0.07 per unit of volatility. If you would invest 334.00 in Vanachai Group Public on September 4, 2024 and sell it today you would lose (4.00) from holding Vanachai Group Public or give up 1.2% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
TCM Public vs. Vanachai Group Public
Performance |
| Timeline |
| TCM Public |
| Vanachai Group Public |
TCM Public and Vanachai Group Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with TCM Public and Vanachai Group
The main advantage of trading using opposite TCM Public and Vanachai Group positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if TCM Public position performs unexpectedly, Vanachai Group 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 Vanachai Group will offset losses from the drop in Vanachai Group's long position.| TCM Public vs. Central Pattana Public | TCM Public vs. CP ALL Public | TCM Public vs. Bangkok Dusit Medical | TCM Public vs. Airports of Thailand |
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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 Price Transformation module to use Price Transformation models to analyze the depth of different equity instruments across global markets.
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