Correlation Between BCAP MSCI and KTAM Gold

Can any of the company-specific risk be diversified away by investing in both BCAP MSCI and KTAM Gold 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 KTAM Gold 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 KTAM Gold ETF, you can compare the effects of market volatilities on BCAP MSCI and KTAM Gold 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 KTAM Gold. Check out your portfolio center. Please also check ongoing floating volatility patterns of BCAP MSCI and KTAM Gold.

Diversification Opportunities for BCAP MSCI and KTAM Gold

-0.13

Correlation Coefficient

BCAP MSCI  KTAM Gold

Good diversification

The 3 months correlation between BCAP and KTAM is -0.13. Overlapping area represents the amount of risk that can be diversified away by holding BCAP MSCI Thailand and KTAM Gold ETF in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on KTAM Gold ETF 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 KTAM Gold. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of KTAM Gold ETF has no effect on the direction of BCAP MSCI i.e., BCAP MSCI and KTAM Gold go up and down completely randomly.

Pair Corralation between BCAP MSCI and KTAM Gold

Assuming the 90 days trading horizon BCAP MSCI is expected to generate 1.06 times less return on investment than KTAM Gold. In addition to that, BCAP MSCI is 1.0 times more volatile than KTAM Gold ETF. It trades about 0.04 of its total potential returns per unit of risk. KTAM Gold ETF is currently generating about 0.04 per unit of volatility. If you would invest  256.00  in KTAM Gold ETF on September 22, 2024 and sell it today you would earn a total of  106.00  from holding KTAM Gold ETF or generate 41.41% return on investment over 90 days.

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

BCAP MSCI Thailand  vs.  KTAM Gold ETF

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 conflicting 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.

KTAM Gold ETF

Risk-Adjusted Performance

8 of 100

OK

Compared to the overall equity markets, risk-adjusted returns on investments in KTAM Gold ETF are ranked lower than 8 (%) of all global equities and portfolios over the last 90 days. Despite quite persistent fundamental indicators, KTAM Gold is not utilizing all of its potentials. The latest stock price mess, may contribute to short-term losses for the institutional investors.

Pair Trading with BCAP MSCI and KTAM Gold

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

The idea behind BCAP MSCI Thailand and KTAM Gold ETF 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 Idea Optimizer module to use advanced portfolio builder with pre-computed micro ideas to build optimal portfolio .