Correlation Between ThaiDex SET50 and BCAP Mid
Can any of the company-specific risk be diversified away by investing in both ThaiDex SET50 and BCAP Mid 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 ThaiDex SET50 and BCAP Mid into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between ThaiDex SET50 Exchange and BCAP Mid Small, you can compare the effects of market volatilities on ThaiDex SET50 and BCAP Mid 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 ThaiDex SET50 with a short position of BCAP Mid. Check out your portfolio center. Please also check ongoing floating volatility patterns of ThaiDex SET50 and BCAP Mid.
Diversification Opportunities for ThaiDex SET50 and BCAP Mid
0.23 | Correlation Coefficient |
Modest diversification
The 3 months correlation between ThaiDex and BCAP is 0.23. Overlapping area represents the amount of risk that can be diversified away by holding ThaiDex SET50 Exchange and BCAP Mid Small in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on BCAP Mid Small and ThaiDex SET50 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 ThaiDex SET50 Exchange are associated (or correlated) with BCAP Mid. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of BCAP Mid Small has no effect on the direction of ThaiDex SET50 i.e., ThaiDex SET50 and BCAP Mid go up and down completely randomly.
Pair Corralation between ThaiDex SET50 and BCAP Mid
Assuming the 90 days trading horizon ThaiDex SET50 is expected to generate 1.97 times less return on investment than BCAP Mid. But when comparing it to its historical volatility, ThaiDex SET50 Exchange is 1.41 times less risky than BCAP Mid. It trades about 0.06 of its potential returns per unit of risk. BCAP Mid Small is currently generating about 0.08 of returns per unit of risk over similar time horizon. If you would invest 910.00 in BCAP Mid Small on September 4, 2024 and sell it today you would lose (4.00) from holding BCAP Mid Small or give up 0.44% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
ThaiDex SET50 Exchange vs. BCAP Mid Small
Performance |
| Timeline |
| ThaiDex SET50 Exchange |
| BCAP Mid Small |
ThaiDex SET50 and BCAP Mid Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with ThaiDex SET50 and BCAP Mid
The main advantage of trading using opposite ThaiDex SET50 and BCAP Mid positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if ThaiDex SET50 position performs unexpectedly, BCAP Mid 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 BCAP Mid will offset losses from the drop in BCAP Mid's long position.| ThaiDex SET50 vs. BCAP MSCI Thailand | ThaiDex SET50 vs. BCAP SET100 | ThaiDex SET50 vs. KTAM Gold ETF | ThaiDex SET50 vs. ThaiDEX SET High |
| BCAP Mid vs. BCAP SET100 | BCAP Mid vs. BCAP MSCI Thailand | BCAP Mid vs. United Hero ETF | BCAP Mid vs. WISE KTAM CSI |
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 Pair Correlation module to compare performance and examine fundamental relationship between any two equity instruments.
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