Correlation Between Mena Transport and Krung Thai

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

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

Diversification Opportunities for Mena Transport and Krung Thai

-0.63

Correlation Coefficient

Mena Transport  Krung Thai

Excellent diversification

The 3 months correlation between Mena and Krung is -0.63. Overlapping area represents the amount of risk that can be diversified away by holding Mena Transport Public and Krung Thai Bank in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Krung Thai Bank and Mena Transport 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 Mena Transport Public are associated (or correlated) with Krung Thai. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Krung Thai Bank has no effect on the direction of Mena Transport i.e., Mena Transport and Krung Thai go up and down completely randomly.

Pair Corralation between Mena Transport and Krung Thai

Assuming the 90 days trading horizon Mena Transport Public is expected to under-perform the Krung Thai. In addition to that, Mena Transport is 1.72 times more volatile than Krung Thai Bank. It trades about -0.02 of its total potential returns per unit of risk. Krung Thai Bank is currently generating about 0.14 per unit of volatility. If you would invest  2,090  in Krung Thai Bank on December 21, 2024 and sell it today you would earn a total of  260.00  from holding Krung Thai Bank or generate 12.44% return on investment over 90 days.

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

Mena Transport Public  vs.  Krung Thai Bank

Mena Transport Public

Risk-Adjusted Performance

Very Weak

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

Krung Thai Bank

Risk-Adjusted Performance

Good

Compared to the overall equity markets, risk-adjusted returns on investments in Krung Thai Bank are ranked lower than 11 (%) of all global equities and portfolios over the last 90 days. Despite somewhat weak fundamental drivers, Krung Thai sustained solid returns over the last few months and may actually be approaching a breakup point.

Pair Trading with Mena Transport and Krung Thai

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

The idea behind Mena Transport Public and Krung Thai Bank 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 Odds Of Bankruptcy module to get analysis of equity chance of financial distress in the next 2 years.