Correlation Between Thai Film and SCG Packaging
Can any of the company-specific risk be diversified away by investing in both Thai Film and SCG Packaging 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 Thai Film and SCG Packaging into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Thai Film Industries and SCG Packaging Public, you can compare the effects of market volatilities on Thai Film and SCG Packaging 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 Thai Film with a short position of SCG Packaging. Check out your portfolio center. Please also check ongoing floating volatility patterns of Thai Film and SCG Packaging.
Diversification Opportunities for Thai Film and SCG Packaging
0.37 | Correlation Coefficient |
Weak diversification
The 3 months correlation between Thai and SCG is 0.37. Overlapping area represents the amount of risk that can be diversified away by holding Thai Film Industries and SCG Packaging Public in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on SCG Packaging Public and Thai Film 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 Thai Film Industries are associated (or correlated) with SCG Packaging. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of SCG Packaging Public has no effect on the direction of Thai Film i.e., Thai Film and SCG Packaging go up and down completely randomly.
Pair Corralation between Thai Film and SCG Packaging
Assuming the 90 days trading horizon Thai Film Industries is expected to generate 3.14 times more return on investment than SCG Packaging. However, Thai Film is 3.14 times more volatile than SCG Packaging Public. It trades about 0.02 of its potential returns per unit of risk. SCG Packaging Public is currently generating about -0.17 per unit of risk. If you would invest 8.00 in Thai Film Industries on September 12, 2024 and sell it today you would lose (1.00) from holding Thai Film Industries or give up 12.5% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
Thai Film Industries vs. SCG Packaging Public
Performance |
| Timeline |
| Thai Film Industries |
| SCG Packaging Public |
Thai Film and SCG Packaging Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Thai Film and SCG Packaging
The main advantage of trading using opposite Thai Film and SCG Packaging positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Thai Film position performs unexpectedly, SCG Packaging 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 SCG Packaging will offset losses from the drop in SCG Packaging's long position.| Thai Film vs. Thai Reinsurance Public | Thai Film vs. STPI Public | Thai Film vs. Siri Prime Office | Thai Film vs. Thoresen Thai Agencies |
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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 Volatility Analysis module to get historical volatility and risk analysis based on latest market data.
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