Correlation Between PTT Public and MCS Steel
Can any of the company-specific risk be diversified away by investing in both PTT Public and MCS Steel 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 MCS Steel into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between PTT Public and MCS Steel Public, you can compare the effects of market volatilities on PTT Public and MCS Steel 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 MCS Steel. Check out your portfolio center. Please also check ongoing floating volatility patterns of PTT Public and MCS Steel.
Diversification Opportunities for PTT Public and MCS Steel
0.84 | Correlation Coefficient |
Very poor diversification
The 3 months correlation between PTT and MCS is 0.84. Overlapping area represents the amount of risk that can be diversified away by holding PTT Public and MCS Steel Public in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on MCS Steel Public 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 MCS Steel. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of MCS Steel Public has no effect on the direction of PTT Public i.e., PTT Public and MCS Steel go up and down completely randomly.
Pair Corralation between PTT Public and MCS Steel
Assuming the 90 days trading horizon PTT Public is expected to generate 90.41 times less return on investment than MCS Steel. But when comparing it to its historical volatility, PTT Public is 2.05 times less risky than MCS Steel. It trades about 0.01 of its potential returns per unit of risk. MCS Steel Public is currently generating about 0.26 of returns per unit of risk over similar time horizon. If you would invest 620.00 in MCS Steel Public on December 2, 2024 and sell it today you would earn a total of 90.00 from holding MCS Steel Public or generate 14.52% return on investment over 90 days.
Time Period | 3 Months [change] |
Direction | Moves Together |
Strength | Strong |
Accuracy | 100.0% |
Values | Daily Returns |
PTT Public vs. MCS Steel Public
Performance |
Timeline |
PTT Public |
MCS Steel Public |
PTT Public and MCS Steel Volatility Contrast
Predicted Return Density |
Returns |
Pair Trading with PTT Public and MCS Steel
The main advantage of trading using opposite PTT Public and MCS Steel positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if PTT Public position performs unexpectedly, MCS Steel 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 MCS Steel will offset losses from the drop in MCS Steel's long position.PTT Public vs. IRPC Public | PTT Public vs. PTT Oil and | PTT Public vs. Power Solution Technologies | PTT Public vs. Star Petroleum Refining |
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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 Backtesting module to avoid under-diversification and over-optimization by backtesting your portfolios.
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