Correlation Between Thai Oil and PTT OIL
Can any of the company-specific risk be diversified away by investing in both Thai Oil and PTT OIL 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 Oil and PTT OIL into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Thai Oil Public and PTT OIL RETAIL, you can compare the effects of market volatilities on Thai Oil and PTT OIL 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 Oil with a short position of PTT OIL. Check out your portfolio center. Please also check ongoing floating volatility patterns of Thai Oil and PTT OIL.
Diversification Opportunities for Thai Oil and PTT OIL
Very weak diversification
The 3 months correlation between Thai and PTT is 0.59. Overlapping area represents the amount of risk that can be diversified away by holding Thai Oil Public and PTT OIL RETAIL in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on PTT OIL RETAIL and Thai Oil 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 Oil Public are associated (or correlated) with PTT OIL. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of PTT OIL RETAIL has no effect on the direction of Thai Oil i.e., Thai Oil and PTT OIL go up and down completely randomly.
Pair Corralation between Thai Oil and PTT OIL
Assuming the 90 days trading horizon Thai Oil Public is expected to generate 1.02 times more return on investment than PTT OIL. However, Thai Oil is 1.02 times more volatile than PTT OIL RETAIL. It trades about -0.02 of its potential returns per unit of risk. PTT OIL RETAIL is currently generating about -0.05 per unit of risk. If you would invest 4,820 in Thai Oil Public on September 3, 2024 and sell it today you would lose (1,045) from holding Thai Oil Public or give up 21.68% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
Thai Oil Public vs. PTT OIL RETAIL
Performance |
| Timeline |
| Thai Oil Public |
| PTT OIL RETAIL |
Thai Oil and PTT OIL Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Thai Oil and PTT OIL
The main advantage of trading using opposite Thai Oil and PTT OIL positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Thai Oil position performs unexpectedly, PTT OIL 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 PTT OIL will offset losses from the drop in PTT OIL's long position.| Thai Oil vs. PTT Public | Thai Oil vs. SCB X Public | Thai Oil vs. The Siam Commercial | Thai Oil vs. The Siam Cement |
| PTT OIL vs. PTT Oil and | PTT OIL vs. Thai Oil Public | PTT OIL vs. Thai Oil Public | PTT OIL vs. IRPC 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 Price Transformation module to use Price Transformation models to analyze the depth of different equity instruments across global markets.
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