Correlation Between MTrack Energy and ThaiDEX SET

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

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

Diversification Opportunities for MTrack Energy and ThaiDEX SET

0.87

Correlation Coefficient

MTrack Energy  ThaiDEX SET

Very poor diversification

The 3 months correlation between MTrack and ThaiDEX is 0.87. Overlapping area represents the amount of risk that can be diversified away by holding MTrack Energy ETF 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 MTrack Energy 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 MTrack Energy ETF 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 MTrack Energy i.e., MTrack Energy and ThaiDEX SET go up and down completely randomly.

Pair Corralation between MTrack Energy and ThaiDEX SET

Assuming the 90 days trading horizon MTrack Energy ETF is expected to under-perform the ThaiDEX SET. In addition to that, MTrack Energy is 1.21 times more volatile than ThaiDEX SET High. It trades about -0.28 of its total potential returns per unit of risk. ThaiDEX SET High is currently generating about -0.14 per unit of volatility. If you would invest  1,063  in ThaiDEX SET High on December 10, 2024 and sell it today you would lose (73.00) from holding ThaiDEX SET High or give up 6.87% of portfolio value over 90 days.

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

MTrack Energy ETF  vs.  ThaiDEX SET High

MTrack Energy ETF

Risk-Adjusted Performance

Very Weak

Over the last 90 days MTrack Energy ETF 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 forward-looking signals remain quite persistent which may send shares a bit higher in April 2025. The latest mess may also be a sign of long-standing up-swing for the ETF venture institutional investors.

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 latest weak performance, the Etf's forward-looking signals remain persistent and the latest mess on Wall Street may also be a sign of long-standing gains for the ETF venture institutional investors.

Pair Trading with MTrack Energy and ThaiDEX SET

The main advantage of trading using opposite MTrack Energy and ThaiDEX SET positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if MTrack Energy 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 MTrack Energy ETF 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.

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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 FinTech Suite module to use AI to screen and filter profitable investment opportunities.