Correlation Between PTT Global and STMICROELECTRONICS

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

By analyzing existing cross correlation between PTT Global Chemical and STMICROELECTRONICS, you can compare the effects of market volatilities on PTT Global and STMICROELECTRONICS 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 PTT Global with a short position of STMICROELECTRONICS. Check out your portfolio center. Please also check ongoing floating volatility patterns of PTT Global and STMICROELECTRONICS.

Diversification Opportunities for PTT Global and STMICROELECTRONICS

0.45

Correlation Coefficient

PTT Global  STMICROELECTRONICS

Very weak diversification

The 3 months correlation between PTT and STMICROELECTRONICS is 0.45. Overlapping area represents the amount of risk that can be diversified away by holding PTT Global Chemical and STMICROELECTRONICS in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on STMICROELECTRONICS and PTT Global 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 PTT Global Chemical are associated (or correlated) with STMICROELECTRONICS. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of STMICROELECTRONICS has no effect on the direction of PTT Global i.e., PTT Global and STMICROELECTRONICS go up and down completely randomly.

Pair Corralation between PTT Global and STMICROELECTRONICS

Assuming the 90 days trading horizon PTT Global Chemical is expected to generate 8.18 times more return on investment than STMICROELECTRONICS. However, PTT Global is 8.18 times more volatile than STMICROELECTRONICS. It trades about 0.03 of its potential returns per unit of risk. STMICROELECTRONICS is currently generating about -0.03 per unit of risk. If you would invest  107.00  in PTT Global Chemical on October 4, 2024 and sell it today you would lose (43.00) from holding PTT Global Chemical or give up 40.19% of portfolio value over 90 days.

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

PTT Global Chemical  vs.  STMICROELECTRONICS

PTT Global Chemical

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days PTT Global Chemical has generated negative risk-adjusted returns adding no value to investors with long positions. In spite of latest uncertain performance, the Stock's basic indicators remain stable and the newest uproar on Wall Street may also be a sign of mid-term gains for the firm private investors.

STMICROELECTRONICS

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days STMICROELECTRONICS has generated negative risk-adjusted returns adding no value to investors with long positions. In spite of rather sound primary indicators, STMICROELECTRONICS is not utilizing all of its potentials. The current stock price tumult, may contribute to shorter-term losses for the shareholders.

Pair Trading with PTT Global and STMICROELECTRONICS

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

The idea behind PTT Global Chemical and STMICROELECTRONICS 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 Breakdown module to analyze constituents of all Macroaxis ideas. Macroaxis investment ideas are predefined, sector-focused investing themes.