Correlation Between MCS Steel and Siam Pan

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

By analyzing existing cross correlation between MCS Steel Public and Siam Pan Group, you can compare the effects of market volatilities on MCS Steel and Siam Pan 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 MCS Steel with a short position of Siam Pan. Check out your portfolio center. Please also check ongoing floating volatility patterns of MCS Steel and Siam Pan.

Diversification Opportunities for MCS Steel and Siam Pan

0.01

Correlation Coefficient

MCS Steel  Siam Pan

Significant diversification

The 3 months correlation between MCS and Siam is 0.01. Overlapping area represents the amount of risk that can be diversified away by holding MCS Steel Public and Siam Pan Group in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Siam Pan Group and MCS Steel 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 MCS Steel Public are associated (or correlated) with Siam Pan. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Siam Pan Group has no effect on the direction of MCS Steel i.e., MCS Steel and Siam Pan go up and down completely randomly.

Pair Corralation between MCS Steel and Siam Pan

Assuming the 90 days trading horizon MCS Steel Public is expected to under-perform the Siam Pan. But the stock apears to be less risky and, when comparing its historical volatility, MCS Steel Public is 1.17 times less risky than Siam Pan. The stock trades about -0.31 of its potential returns per unit of risk. The Siam Pan Group is currently generating about -0.02 of returns per unit of risk over similar time horizon. If you would invest  1,420  in Siam Pan Group on October 11, 2024 and sell it today you would lose (10.00) from holding Siam Pan Group or give up 0.7% of portfolio value over 90 days.

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

MCS Steel Public  vs.  Siam Pan Group

MCS Steel Public

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days MCS Steel Public has generated negative risk-adjusted returns adding no value to investors with long positions. Despite weak performance in the last few months, the Stock's basic indicators remain quite persistent which may send shares a bit higher in February 2025. The latest mess may also be a sign of long-standing up-swing for the company institutional investors.

Siam Pan Group

Risk-Adjusted Performance

9 of 100

OK

Compared to the overall equity markets, risk-adjusted returns on investments in Siam Pan Group are ranked lower than 9 (%) of all global equities and portfolios over the last 90 days. Despite quite conflicting technical and fundamental indicators, Siam Pan disclosed solid returns over the last few months and may actually be approaching a breakup point.

Pair Trading with MCS Steel and Siam Pan

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

The idea behind MCS Steel Public and Siam Pan Group 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.

Check out your portfolio center.

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 Portfolio Rebalancing module to analyze risk-adjusted returns against different time horizons to find asset-allocation targets.