Correlation Between Bangkok Life and Ratchthani Leasing

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

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

Diversification Opportunities for Bangkok Life and Ratchthani Leasing

0.79

Correlation Coefficient

Bangkok Life  Ratchthani Leasing

Poor diversification

The 3 months correlation between Bangkok and Ratchthani is 0.79. Overlapping area represents the amount of risk that can be diversified away by holding Bangkok Life Assurance and Ratchthani Leasing Public in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Ratchthani Leasing Public and Bangkok Life 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 Life Assurance are associated (or correlated) with Ratchthani Leasing. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Ratchthani Leasing Public has no effect on the direction of Bangkok Life i.e., Bangkok Life and Ratchthani Leasing go up and down completely randomly.

Pair Corralation between Bangkok Life and Ratchthani Leasing

Assuming the 90 days trading horizon Bangkok Life Assurance is expected to under-perform the Ratchthani Leasing. But the stock apears to be less risky and, when comparing its historical volatility, Bangkok Life Assurance is 2.12 times less risky than Ratchthani Leasing. The stock trades about -0.02 of its potential returns per unit of risk. The Ratchthani Leasing Public is currently generating about 0.01 of returns per unit of risk over similar time horizon. If you would invest  171.00  in Ratchthani Leasing Public on December 1, 2024 and sell it today you would lose (6.00) from holding Ratchthani Leasing Public or give up 3.51% of portfolio value over 90 days.

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

Bangkok Life Assurance  vs.  Ratchthani Leasing Public

Bangkok Life Assurance

Risk-Adjusted Performance

Very Weak

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

Ratchthani Leasing Public

Risk-Adjusted Performance

Very Weak

Over the last 90 days Ratchthani Leasing Public has generated negative risk-adjusted returns adding no value to investors with long positions. Despite somewhat strong fundamental drivers, Ratchthani Leasing is not utilizing all of its potentials. The latest stock price disturbance, may contribute to short-term losses for the investors.

Pair Trading with Bangkok Life and Ratchthani Leasing

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

The idea behind Bangkok Life Assurance and Ratchthani Leasing Public 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 Aroon Oscillator module to analyze current equity momentum using Aroon Oscillator and other momentum ratios.