Correlation Between I Tail and Thai Life

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

By analyzing existing cross correlation between i Tail Corp PCL and Thai Life Insurance, you can compare the effects of market volatilities on I Tail and Thai Life 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 I Tail with a short position of Thai Life. Check out your portfolio center. Please also check ongoing floating volatility patterns of I Tail and Thai Life.

Diversification Opportunities for I Tail and Thai Life

0.73

Correlation Coefficient

I Tail  Thai Life

Poor diversification

The 3 months correlation between ITC and Thai is 0.73. Overlapping area represents the amount of risk that can be diversified away by holding i Tail Corp PCL and Thai Life Insurance in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Thai Life Insurance and I Tail 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 i Tail Corp PCL are associated (or correlated) with Thai Life. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Thai Life Insurance has no effect on the direction of I Tail i.e., I Tail and Thai Life go up and down completely randomly.

Pair Corralation between I Tail and Thai Life

Assuming the 90 days trading horizon I Tail is expected to generate 5.53 times less return on investment than Thai Life. But when comparing it to its historical volatility, i Tail Corp PCL is 1.05 times less risky than Thai Life. It trades about 0.01 of its potential returns per unit of risk. Thai Life Insurance is currently generating about 0.08 of returns per unit of risk over similar time horizon. If you would invest  895.00  in Thai Life Insurance on September 13, 2024 and sell it today you would earn a total of  205.00  from holding Thai Life Insurance or generate 22.91% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Together
Strength	Significant
Accuracy	99.3%
Values	Daily Returns

i Tail Corp PCL  vs.  Thai Life Insurance

i Tail Corp

Risk-Adjusted Performance

7 of 100

OK

Compared to the overall equity markets, risk-adjusted returns on investments in i Tail Corp PCL are ranked lower than 7 (%) of all global equities and portfolios over the last 90 days. Despite quite weak fundamental indicators, I Tail disclosed solid returns over the last few months and may actually be approaching a breakup point.

Thai Life Insurance

Risk-Adjusted Performance

13 of 100

Good

Compared to the overall equity markets, risk-adjusted returns on investments in Thai Life Insurance are ranked lower than 13 (%) of all global equities and portfolios over the last 90 days. Despite quite conflicting forward indicators, Thai Life disclosed solid returns over the last few months and may actually be approaching a breakup point.

Pair Trading with I Tail and Thai Life

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

The idea behind i Tail Corp PCL and Thai Life Insurance 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 Stocks Directory module to find actively traded stocks across global markets.