Correlation Between Krung Thai and JMT Network

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

By analyzing existing cross correlation between Krung Thai Bank and JMT Network Services, you can compare the effects of market volatilities on Krung Thai and JMT Network 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 Krung Thai with a short position of JMT Network. Check out your portfolio center. Please also check ongoing floating volatility patterns of Krung Thai and JMT Network.

Diversification Opportunities for Krung Thai and JMT Network

0.35

Correlation Coefficient

Krung Thai  JMT Network

Weak diversification

The 3 months correlation between Krung and JMT is 0.35. Overlapping area represents the amount of risk that can be diversified away by holding Krung Thai Bank and JMT Network Services in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on JMT Network Services and Krung Thai 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 Krung Thai Bank are associated (or correlated) with JMT Network. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of JMT Network Services has no effect on the direction of Krung Thai i.e., Krung Thai and JMT Network go up and down completely randomly.

Pair Corralation between Krung Thai and JMT Network

Assuming the 90 days trading horizon Krung Thai Bank is expected to under-perform the JMT Network. But the stock apears to be less risky and, when comparing its historical volatility, Krung Thai Bank is 1.69 times less risky than JMT Network. The stock trades about -0.01 of its potential returns per unit of risk. The JMT Network Services is currently generating about 0.04 of returns per unit of risk over similar time horizon. If you would invest  1,780  in JMT Network Services on September 24, 2024 and sell it today you would earn a total of  30.00  from holding JMT Network Services or generate 1.69% return on investment over 90 days.

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

Krung Thai Bank  vs.  JMT Network Services

Krung Thai Bank

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Krung Thai Bank has generated negative risk-adjusted returns adding no value to investors with long positions. Despite quite persistent fundamental drivers, Krung Thai is not utilizing all of its potentials. The current stock price mess, may contribute to short-term losses for the institutional investors.

JMT Network Services

Risk-Adjusted Performance

0 of 100

Very Weak

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

Pair Trading with Krung Thai and JMT Network

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

The idea behind Krung Thai Bank and JMT Network Services 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 Volatility Analysis module to get historical volatility and risk analysis based on latest market data.