Correlation Between Thai Rung and NSL Foods
Can any of the company-specific risk be diversified away by investing in both Thai Rung and NSL Foods 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 Rung and NSL Foods into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Thai Rung Union and NSL Foods Public, you can compare the effects of market volatilities on Thai Rung and NSL Foods 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 Rung with a short position of NSL Foods. Check out your portfolio center. Please also check ongoing floating volatility patterns of Thai Rung and NSL Foods.
Diversification Opportunities for Thai Rung and NSL Foods
Modest diversification
The 3 months correlation between Thai and NSL is 0.29. Overlapping area represents the amount of risk that can be diversified away by holding Thai Rung Union and NSL Foods Public in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on NSL Foods Public and Thai Rung 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 Rung Union are associated (or correlated) with NSL Foods. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of NSL Foods Public has no effect on the direction of Thai Rung i.e., Thai Rung and NSL Foods go up and down completely randomly.
Pair Corralation between Thai Rung and NSL Foods
Assuming the 90 days trading horizon Thai Rung Union is expected to under-perform the NSL Foods. But the stock apears to be less risky and, when comparing its historical volatility, Thai Rung Union is 3.91 times less risky than NSL Foods. The stock trades about -0.05 of its potential returns per unit of risk. The NSL Foods Public is currently generating about -0.01 of returns per unit of risk over similar time horizon. If you would invest 3,250 in NSL Foods Public on September 1, 2024 and sell it today you would lose (25.00) from holding NSL Foods Public or give up 0.77% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Weak |
| Accuracy | 95.65% |
| Values | Daily Returns |
Thai Rung Union vs. NSL Foods Public
Performance |
| Timeline |
| Thai Rung Union |
| NSL Foods Public |
Thai Rung and NSL Foods Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Thai Rung and NSL Foods
The main advantage of trading using opposite Thai Rung and NSL Foods positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Thai Rung position performs unexpectedly, NSL Foods 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 NSL Foods will offset losses from the drop in NSL Foods' long position.| Thai Rung vs. TRC Construction Public | Thai Rung vs. Bangkok Expressway and | Thai Rung vs. Lohakit Metal Public | Thai Rung vs. Gunkul Engineering Public |
| NSL Foods vs. Mega Lifesciences Public | NSL Foods vs. Com7 PCL | NSL Foods vs. Thai Union Group | NSL Foods vs. Jay Mart 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 Watchlist Optimization module to optimize watchlists to build efficient portfolios or rebalance existing positions based on the mean-variance optimization algorithm.
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