Correlation Between ThaiDex SET50 and BCAP SET100
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By analyzing existing cross correlation between ThaiDex SET50 Exchange and BCAP SET100, you can compare the effects of market volatilities on ThaiDex SET50 and BCAP SET100 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 SET100. Check out your portfolio center. Please also check ongoing floating volatility patterns of ThaiDex SET50 and BCAP SET100.
Diversification Opportunities for ThaiDex SET50 and BCAP SET100
0.98 | Correlation Coefficient |
Almost no diversification
The 3 months correlation between ThaiDex and BCAP is 0.98. Overlapping area represents the amount of risk that can be diversified away by holding ThaiDex SET50 Exchange and BCAP SET100 in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on BCAP SET100 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 SET100. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of BCAP SET100 has no effect on the direction of ThaiDex SET50 i.e., ThaiDex SET50 and BCAP SET100 go up and down completely randomly.
Pair Corralation between ThaiDex SET50 and BCAP SET100
Assuming the 90 days trading horizon ThaiDex SET50 Exchange is expected to generate 1.05 times more return on investment than BCAP SET100. However, ThaiDex SET50 is 1.05 times more volatile than BCAP SET100. It trades about 0.02 of its potential returns per unit of risk. BCAP SET100 is currently generating about -0.05 per unit of risk. If you would invest 913.00 in ThaiDex SET50 Exchange on August 29, 2024 and sell it today you would earn a total of 3.00 from holding ThaiDex SET50 Exchange or generate 0.33% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
ThaiDex SET50 Exchange vs. BCAP SET100
Performance |
| Timeline |
| ThaiDex SET50 Exchange |
| BCAP SET100 |
ThaiDex SET50 and BCAP SET100 Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with ThaiDex SET50 and BCAP SET100
The main advantage of trading using opposite ThaiDex SET50 and BCAP SET100 positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if ThaiDex SET50 position performs unexpectedly, BCAP SET100 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 SET100 will offset losses from the drop in BCAP SET100's long position.| ThaiDex SET50 vs. WISE KTAM CSI | ThaiDex SET50 vs. ThaiDEX SET High | ThaiDex SET50 vs. MTrack Energy ETF |
| BCAP SET100 vs. ThaiDex SET50 Exchange | BCAP SET100 vs. WISE KTAM CSI | BCAP SET100 vs. ThaiDEX SET High | BCAP SET100 vs. MTrack Energy ETF |
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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