Correlation Between BCAP MSCI and ThaiDEX SET

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

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

Diversification Opportunities for BCAP MSCI and ThaiDEX SET

0.76

Correlation Coefficient

BCAP MSCI  ThaiDEX SET

Poor diversification

The 3 months correlation between BCAP and ThaiDEX is 0.76. Overlapping area represents the amount of risk that can be diversified away by holding BCAP MSCI Thailand and ThaiDEX SET High in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on ThaiDEX SET High and BCAP MSCI 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 BCAP MSCI Thailand are associated (or correlated) with ThaiDEX SET. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of ThaiDEX SET High has no effect on the direction of BCAP MSCI i.e., BCAP MSCI and ThaiDEX SET go up and down completely randomly.

Pair Corralation between BCAP MSCI and ThaiDEX SET

Assuming the 90 days trading horizon BCAP MSCI Thailand is expected to under-perform the ThaiDEX SET. In addition to that, BCAP MSCI is 1.27 times more volatile than ThaiDEX SET High. It trades about -0.23 of its total potential returns per unit of risk. ThaiDEX SET High is currently generating about -0.02 per unit of volatility. If you would invest  1,041  in ThaiDEX SET High on December 29, 2024 and sell it today you would lose (10.00) from holding ThaiDEX SET High or give up 0.96% of portfolio value over 90 days.

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

BCAP MSCI Thailand  vs.  ThaiDEX SET High

BCAP MSCI Thailand

Risk-Adjusted Performance

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 weak performance in the last few months, the Etf's fundamental indicators remain fairly strong which may send shares a bit higher in April 2025. The recent confusion may also be a sign of long-lasting up-swing for the Etf traders.

ThaiDEX SET High

Risk-Adjusted Performance

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 quite persistent forward-looking signals, ThaiDEX SET is not utilizing all of its potentials. The current stock price mess, may contribute to short-term losses for the institutional investors.

Pair Trading with BCAP MSCI and ThaiDEX SET

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

The idea behind BCAP MSCI Thailand and ThaiDEX SET High 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.

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 Positions Ratings module to determine portfolio positions ratings based on digital equity recommendations. Macroaxis instant position ratings are based on combination of fundamental analysis and risk-adjusted market performance.