Correlation Between ThaiDEX SET and BCAP SET100

Can any of the company-specific risk be diversified away by investing in both ThaiDEX SET and BCAP SET100 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 ThaiDEX SET and BCAP SET100 into the same portfolio, which is an essential part of the fundamental portfolio management process.

By analyzing existing cross correlation between ThaiDEX SET High and BCAP SET100, you can compare the effects of market volatilities on ThaiDEX SET and BCAP SET100 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 ThaiDEX SET with a short position of BCAP SET100. Check out your portfolio center. Please also check ongoing floating volatility patterns of ThaiDEX SET and BCAP SET100.

Diversification Opportunities for ThaiDEX SET and BCAP SET100

0.5

Correlation Coefficient

ThaiDEX SET  BCAP SET100

Very weak diversification

The 3 months correlation between ThaiDEX and BCAP is 0.5. Overlapping area represents the amount of risk that can be diversified away by holding ThaiDEX SET High and BCAP SET100 in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on BCAP SET100 and ThaiDEX SET 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 ThaiDEX SET High are associated (or correlated) with BCAP SET100. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of BCAP SET100 has no effect on the direction of ThaiDEX SET i.e., ThaiDEX SET and BCAP SET100 go up and down completely randomly.

Pair Corralation between ThaiDEX SET and BCAP SET100

Assuming the 90 days trading horizon ThaiDEX SET is expected to generate 1.41 times less return on investment than BCAP SET100. In addition to that, ThaiDEX SET is 1.02 times more volatile than BCAP SET100. It trades about 0.06 of its total potential returns per unit of risk. BCAP SET100 is currently generating about 0.08 per unit of volatility. If you would invest  862.00  in BCAP SET100 on September 23, 2024 and sell it today you would earn a total of  71.00  from holding BCAP SET100 or generate 8.24% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Together
Strength	Weak
Accuracy	100.0%
Values	Daily Returns

ThaiDEX SET High  vs.  BCAP SET100

ThaiDEX SET High

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days ThaiDEX SET High has generated negative risk-adjusted returns adding no value to investors with long positions. Despite latest conflicting performance, the Etf's forward-looking signals remain persistent and the latest mess on Wall Street may also be a sign of long-standing gains for the ETF venture institutional investors.

BCAP SET100

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days BCAP SET100 has generated negative risk-adjusted returns adding no value to investors with long positions. Despite somewhat strong basic indicators, BCAP SET100 is not utilizing all of its potentials. The current stock price disturbance, may contribute to short-term losses for the investors.

Pair Trading with ThaiDEX SET and BCAP SET100

The main advantage of trading using opposite ThaiDEX SET and BCAP SET100 positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if ThaiDEX SET position performs unexpectedly, BCAP SET100 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 BCAP SET100 will offset losses from the drop in BCAP SET100's long position.

The idea behind ThaiDEX SET High and BCAP SET100 pairs trading is to make the combined position market-neutral, meaning the overall market's direction will not affect its win or loss (or potential downside or upside). This can be achieved by designing a pairs trade with two highly correlated stocks or equities that operate in a similar space or sector, making it possible to obtain profits through simple and relatively low-risk investment.

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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 Portfolio Analyzer module to portfolio analysis module that provides access to portfolio diagnostics and optimization engine.