Correlation Between ABF Thailand and BCAP MSCI

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

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

Diversification Opportunities for ABF Thailand and BCAP MSCI

-0.84

Correlation Coefficient

ABF Thailand  BCAP MSCI

Pay attention - limited upside

The 3 months correlation between ABF and BCAP is -0.84. Overlapping area represents the amount of risk that can be diversified away by holding The ABF Thailand and BCAP MSCI Thailand in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on BCAP MSCI Thailand and ABF Thailand 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 The ABF Thailand are associated (or correlated) with BCAP MSCI. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of BCAP MSCI Thailand has no effect on the direction of ABF Thailand i.e., ABF Thailand and BCAP MSCI go up and down completely randomly.

Pair Corralation between ABF Thailand and BCAP MSCI

Assuming the 90 days trading horizon The ABF Thailand is expected to generate 0.58 times more return on investment than BCAP MSCI. However, The ABF Thailand is 1.73 times less risky than BCAP MSCI. It trades about -0.1 of its potential returns per unit of risk. BCAP MSCI Thailand is currently generating about -0.26 per unit of risk. If you would invest  134,400  in The ABF Thailand on October 9, 2024 and sell it today you would lose (1,400) from holding The ABF Thailand or give up 1.04% of portfolio value over 90 days.

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

The ABF Thailand  vs.  BCAP MSCI Thailand

ABF Thailand

Risk-Adjusted Performance

8 of 100

OK

Compared to the overall equity markets, risk-adjusted returns on investments in The ABF Thailand are ranked lower than 8 (%) of all global equities and portfolios over the last 90 days. Despite somewhat weak fundamental drivers, ABF Thailand may actually be approaching a critical reversion point that can send shares even higher in February 2025.

BCAP MSCI Thailand

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days BCAP MSCI Thailand has generated negative risk-adjusted returns adding no value to investors with long positions. Despite latest weak performance, the Etf's fundamental indicators remain strong and the recent confusion on Wall Street may also be a sign of long-lasting gains for the Etf traders.

Pair Trading with ABF Thailand and BCAP MSCI

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

The idea behind The ABF Thailand and BCAP MSCI Thailand 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 Efficient Frontier module to plot and analyze your portfolio and positions against risk-return landscape of the market..