Correlation Between TMT Steel and Bangkok Expressway
Can any of the company-specific risk be diversified away by investing in both TMT Steel and Bangkok Expressway 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 TMT Steel and Bangkok Expressway into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between TMT Steel Public and Bangkok Expressway and, you can compare the effects of market volatilities on TMT Steel and Bangkok Expressway 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 TMT Steel with a short position of Bangkok Expressway. Check out your portfolio center. Please also check ongoing floating volatility patterns of TMT Steel and Bangkok Expressway.
Diversification Opportunities for TMT Steel and Bangkok Expressway
0.65 | Correlation Coefficient |
Poor diversification
The 3 months correlation between TMT and Bangkok is 0.65. Overlapping area represents the amount of risk that can be diversified away by holding TMT Steel Public and Bangkok Expressway and in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Bangkok Expressway and and TMT Steel 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 TMT Steel Public are associated (or correlated) with Bangkok Expressway. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Bangkok Expressway and has no effect on the direction of TMT Steel i.e., TMT Steel and Bangkok Expressway go up and down completely randomly.
Pair Corralation between TMT Steel and Bangkok Expressway
Assuming the 90 days trading horizon TMT Steel Public is expected to generate 40.52 times more return on investment than Bangkok Expressway. However, TMT Steel is 40.52 times more volatile than Bangkok Expressway and. It trades about 0.04 of its potential returns per unit of risk. Bangkok Expressway and is currently generating about -0.02 per unit of risk. If you would invest 701.00 in TMT Steel Public on August 31, 2024 and sell it today you would lose (369.00) from holding TMT Steel Public or give up 52.64% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
TMT Steel Public vs. Bangkok Expressway and
Performance |
| Timeline |
| TMT Steel Public |
| Bangkok Expressway and |
TMT Steel and Bangkok Expressway Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with TMT Steel and Bangkok Expressway
The main advantage of trading using opposite TMT Steel and Bangkok Expressway positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if TMT Steel position performs unexpectedly, Bangkok Expressway 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 Bangkok Expressway will offset losses from the drop in Bangkok Expressway's long position.| TMT Steel vs. MCS Steel Public | TMT Steel vs. Thai Vegetable Oil | TMT Steel vs. Pacific Pipe Public | TMT Steel vs. Tipco Foods Public |
| Bangkok Expressway vs. BTS Group Holdings | Bangkok Expressway vs. Bangkok Dusit Medical | Bangkok Expressway vs. Airports of Thailand | Bangkok Expressway vs. CP ALL Public |
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 Premium Stories module to follow Macroaxis premium stories from verified contributors across different equity types, categories and coverage scope.
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