Correlation Between PTT Public and Siam City

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

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

Diversification Opportunities for PTT Public and Siam City

-0.11

Correlation Coefficient

PTT Public  Siam City

Good diversification

The 3 months correlation between PTT and Siam is -0.11. Overlapping area represents the amount of risk that can be diversified away by holding PTT Public and Siam City Cement in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Siam City Cement and PTT Public 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 PTT Public are associated (or correlated) with Siam City. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Siam City Cement has no effect on the direction of PTT Public i.e., PTT Public and Siam City go up and down completely randomly.

Pair Corralation between PTT Public and Siam City

Assuming the 90 days trading horizon PTT Public is expected to under-perform the Siam City. But the stock apears to be less risky and, when comparing its historical volatility, PTT Public is 131.3 times less risky than Siam City. The stock trades about -0.03 of its potential returns per unit of risk. The Siam City Cement is currently generating about 0.12 of returns per unit of risk over similar time horizon. If you would invest  14,650  in Siam City Cement on September 13, 2024 and sell it today you would earn a total of  1,600  from holding Siam City Cement or generate 10.92% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Against
Strength	Insignificant
Accuracy	98.36%
Values	Daily Returns

PTT Public  vs.  Siam City Cement

PTT Public

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days PTT Public has generated negative risk-adjusted returns adding no value to investors with long positions. Despite somewhat strong fundamental drivers, PTT Public is not utilizing all of its potentials. The latest stock price disturbance, may contribute to short-term losses for the investors.

Siam City Cement

Risk-Adjusted Performance

9 of 100

OK

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

Pair Trading with PTT Public and Siam City

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

The idea behind PTT Public and Siam City Cement 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 Transaction History module to view history of all your transactions and understand their impact on performance.