Correlation Between KTAM Gold and BCAP SET100
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By analyzing existing cross correlation between KTAM Gold ETF and BCAP SET100, you can compare the effects of market volatilities on KTAM Gold and BCAP SET100 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 KTAM Gold with a short position of BCAP SET100. Check out your portfolio center. Please also check ongoing floating volatility patterns of KTAM Gold and BCAP SET100.
Diversification Opportunities for KTAM Gold and BCAP SET100
0.2 | Correlation Coefficient |
Modest diversification
The 3 months correlation between KTAM and BCAP is 0.2. Overlapping area represents the amount of risk that can be diversified away by holding KTAM Gold ETF and BCAP SET100 in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on BCAP SET100 and KTAM Gold 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 KTAM Gold ETF are associated (or correlated) with BCAP SET100. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of BCAP SET100 has no effect on the direction of KTAM Gold i.e., KTAM Gold and BCAP SET100 go up and down completely randomly.
Pair Corralation between KTAM Gold and BCAP SET100
Assuming the 90 days trading horizon KTAM Gold is expected to generate 2.12 times less return on investment than BCAP SET100. But when comparing it to its historical volatility, KTAM Gold ETF is 1.23 times less risky than BCAP SET100. It trades about 0.05 of its potential returns per unit of risk. BCAP SET100 is currently generating about 0.08 of returns per unit of risk over similar time horizon. If you would invest 862.00 in BCAP SET100 on September 23, 2024 and sell it today you would earn a total of 71.00 from holding BCAP SET100 or generate 8.24% return on investment over 90 days.
Time Period | 3 Months [change] |
Direction | Moves Together |
Strength | Very Weak |
Accuracy | 100.0% |
Values | Daily Returns |
KTAM Gold ETF vs. BCAP SET100
Performance |
Timeline |
KTAM Gold ETF |
BCAP SET100 |
KTAM Gold and BCAP SET100 Volatility Contrast
Predicted Return Density |
Returns |
Pair Trading with KTAM Gold and BCAP SET100
The main advantage of trading using opposite KTAM Gold and BCAP SET100 positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if KTAM Gold position performs unexpectedly, BCAP SET100 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 BCAP SET100 will offset losses from the drop in BCAP SET100's long position.KTAM Gold vs. ThaiDex SET50 Exchange | KTAM Gold vs. BCAP MSCI Thailand | KTAM Gold vs. BCAP SET100 | KTAM Gold vs. WISE KTAM CSI |
BCAP SET100 vs. BCAP Mid Small | BCAP SET100 vs. BCAP MSCI Thailand | BCAP SET100 vs. United Hero ETF | BCAP SET100 vs. WISE KTAM CSI |
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