Correlation Between Bangsaphan Barmill and Samchai Steel

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

By analyzing existing cross correlation between Bangsaphan Barmill Public and Samchai Steel Industries, you can compare the effects of market volatilities on Bangsaphan Barmill and Samchai Steel 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 Bangsaphan Barmill with a short position of Samchai Steel. Check out your portfolio center. Please also check ongoing floating volatility patterns of Bangsaphan Barmill and Samchai Steel.

Diversification Opportunities for Bangsaphan Barmill and Samchai Steel

0.07

Correlation Coefficient

Bangsaphan Barmill  Samchai Steel

Significant diversification

The 3 months correlation between Bangsaphan and Samchai is 0.07. Overlapping area represents the amount of risk that can be diversified away by holding Bangsaphan Barmill Public and Samchai Steel Industries in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Samchai Steel Industries and Bangsaphan Barmill 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 Bangsaphan Barmill Public are associated (or correlated) with Samchai Steel. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Samchai Steel Industries has no effect on the direction of Bangsaphan Barmill i.e., Bangsaphan Barmill and Samchai Steel go up and down completely randomly.

Pair Corralation between Bangsaphan Barmill and Samchai Steel

Assuming the 90 days trading horizon Bangsaphan Barmill is expected to generate 99.32 times less return on investment than Samchai Steel. But when comparing it to its historical volatility, Bangsaphan Barmill Public is 9.37 times less risky than Samchai Steel. It trades about 0.01 of its potential returns per unit of risk. Samchai Steel Industries is currently generating about 0.08 of returns per unit of risk over similar time horizon. If you would invest  13.00  in Samchai Steel Industries on October 23, 2024 and sell it today you would earn a total of  4.00  from holding Samchai Steel Industries or generate 30.77% return on investment over 90 days.

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

Bangsaphan Barmill Public  vs.  Samchai Steel Industries

Bangsaphan Barmill Public

Risk-Adjusted Performance

0 of 100

Very Weak

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

Samchai Steel Industries

Risk-Adjusted Performance

6 of 100

Modest

Compared to the overall equity markets, risk-adjusted returns on investments in Samchai Steel Industries are ranked lower than 6 (%) of all global equities and portfolios over the last 90 days. Despite quite conflicting primary indicators, Samchai Steel disclosed solid returns over the last few months and may actually be approaching a breakup point.

Pair Trading with Bangsaphan Barmill and Samchai Steel

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

The idea behind Bangsaphan Barmill Public and Samchai Steel Industries 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 Performance Analysis module to check effects of mean-variance optimization against your current asset allocation.