Correlation Between Bangkok Bank and BTS Group

Can any of the company-specific risk be diversified away by investing in both Bangkok Bank and BTS Group 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 Bangkok Bank and BTS Group into the same portfolio, which is an essential part of the fundamental portfolio management process.

By analyzing existing cross correlation between Bangkok Bank Public and BTS Group Holdings, you can compare the effects of market volatilities on Bangkok Bank and BTS Group 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 Bangkok Bank with a short position of BTS Group. Check out your portfolio center. Please also check ongoing floating volatility patterns of Bangkok Bank and BTS Group.

Diversification Opportunities for Bangkok Bank and BTS Group

0.16

Correlation Coefficient

Bangkok Bank  BTS Group

Average diversification

The 3 months correlation between Bangkok and BTS is 0.16. Overlapping area represents the amount of risk that can be diversified away by holding Bangkok Bank Public and BTS Group Holdings in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on BTS Group Holdings and Bangkok Bank 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 Bangkok Bank Public are associated (or correlated) with BTS Group. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of BTS Group Holdings has no effect on the direction of Bangkok Bank i.e., Bangkok Bank and BTS Group go up and down completely randomly.

Pair Corralation between Bangkok Bank and BTS Group

Assuming the 90 days trading horizon Bangkok Bank Public is expected to generate 0.54 times more return on investment than BTS Group. However, Bangkok Bank Public is 1.85 times less risky than BTS Group. It trades about 0.02 of its potential returns per unit of risk. BTS Group Holdings is currently generating about -0.03 per unit of risk. If you would invest  14,105  in Bangkok Bank Public on October 12, 2024 and sell it today you would earn a total of  1,145  from holding Bangkok Bank Public or generate 8.12% return on investment over 90 days.

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

Bangkok Bank Public  vs.  BTS Group Holdings

Bangkok Bank Public

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Bangkok Bank Public has generated negative risk-adjusted returns adding no value to investors with long positions. Despite quite persistent essential indicators, Bangkok Bank is not utilizing all of its potentials. The latest stock price mess, may contribute to short-term losses for the institutional investors.

BTS Group Holdings

Risk-Adjusted Performance

15 of 100

Good

Compared to the overall equity markets, risk-adjusted returns on investments in BTS Group Holdings are ranked lower than 15 (%) of all global equities and portfolios over the last 90 days. Despite quite weak basic indicators, BTS Group disclosed solid returns over the last few months and may actually be approaching a breakup point.

Pair Trading with Bangkok Bank and BTS Group

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

The idea behind Bangkok Bank Public and BTS Group Holdings 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 My Watchlist Analysis module to analyze my current watchlist and to refresh optimization strategy. Macroaxis watchlist is based on self-learning algorithm to remember stocks you like.