Correlation Between Piraeus Bank and Bangkok Bank

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

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

Diversification Opportunities for Piraeus Bank and Bangkok Bank

-0.01

Correlation Coefficient

Piraeus Bank  Bangkok Bank

Good diversification

The 3 months correlation between Piraeus and Bangkok is -0.01. Overlapping area represents the amount of risk that can be diversified away by holding Piraeus Bank SA and Bangkok Bank PCL in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Bangkok Bank PCL and Piraeus 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 Piraeus Bank SA are associated (or correlated) with Bangkok Bank. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Bangkok Bank PCL has no effect on the direction of Piraeus Bank i.e., Piraeus Bank and Bangkok Bank go up and down completely randomly.

Pair Corralation between Piraeus Bank and Bangkok Bank

Assuming the 90 days horizon Piraeus Bank SA is expected to under-perform the Bangkok Bank. But the pink sheet apears to be less risky and, when comparing its historical volatility, Piraeus Bank SA is 2.08 times less risky than Bangkok Bank. The pink sheet trades about -0.07 of its potential returns per unit of risk. The Bangkok Bank PCL is currently generating about 0.06 of returns per unit of risk over similar time horizon. If you would invest  2,030  in Bangkok Bank PCL on September 2, 2024 and sell it today you would earn a total of  280.00  from holding Bangkok Bank PCL or generate 13.79% return on investment over 90 days.

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

Piraeus Bank SA  vs.  Bangkok Bank PCL

Piraeus Bank SA

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Piraeus Bank SA has generated negative risk-adjusted returns adding no value to investors with long positions. In spite of latest weak performance, the Stock's basic indicators remain strong and the current disturbance on Wall Street may also be a sign of long term gains for the company investors.

Bangkok Bank PCL

Risk-Adjusted Performance

5 of 100

Modest

Compared to the overall equity markets, risk-adjusted returns on investments in Bangkok Bank PCL are ranked lower than 5 (%) of all global equities and portfolios over the last 90 days. In spite of fairly weak essential indicators, Bangkok Bank showed solid returns over the last few months and may actually be approaching a breakup point.

Pair Trading with Piraeus Bank and Bangkok Bank

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

The idea behind Piraeus Bank SA and Bangkok Bank PCL 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 Portfolio Manager module to state of the art Portfolio Manager to monitor and improve performance of your invested capital.