Correlation Between TMT Steel and SAF Special
Can any of the company-specific risk be diversified away by investing in both TMT Steel and SAF Special 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 SAF Special 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 SAF Special Steel, you can compare the effects of market volatilities on TMT Steel and SAF Special 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 SAF Special. Check out your portfolio center. Please also check ongoing floating volatility patterns of TMT Steel and SAF Special.
Diversification Opportunities for TMT Steel and SAF Special
0.46 | Correlation Coefficient |
Very weak diversification
The 3 months correlation between TMT and SAF is 0.46. Overlapping area represents the amount of risk that can be diversified away by holding TMT Steel Public and SAF Special Steel in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on SAF Special Steel 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 SAF Special. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of SAF Special Steel has no effect on the direction of TMT Steel i.e., TMT Steel and SAF Special go up and down completely randomly.
Pair Corralation between TMT Steel and SAF Special
Assuming the 90 days trading horizon TMT Steel Public is expected to under-perform the SAF Special. But the stock apears to be less risky and, when comparing its historical volatility, TMT Steel Public is 5.19 times less risky than SAF Special. The stock trades about -0.88 of its potential returns per unit of risk. The SAF Special Steel is currently generating about -0.05 of returns per unit of risk over similar time horizon. If you would invest 56.00 in SAF Special Steel on August 29, 2024 and sell it today you would lose (5.00) from holding SAF Special Steel or give up 8.93% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
TMT Steel Public vs. SAF Special Steel
Performance |
| Timeline |
| TMT Steel Public |
| SAF Special Steel |
TMT Steel and SAF Special Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with TMT Steel and SAF Special
The main advantage of trading using opposite TMT Steel and SAF Special positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if TMT Steel position performs unexpectedly, SAF Special 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 SAF Special will offset losses from the drop in SAF Special's long position.| TMT Steel vs. 2S Metal Public | TMT Steel vs. AAPICO Hitech Public | TMT Steel vs. Bangsaphan Barmill Public | TMT Steel vs. AJ Plast Public |
| SAF Special vs. MCS Steel Public | SAF Special vs. Hwa Fong Rubber | SAF Special vs. Haad Thip Public | SAF Special vs. SCG PACKAGING PCL NVDR |
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 Alpha Finder module to use alpha and beta coefficients to find investment opportunities after accounting for the risk.
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