Correlation Between Siam Commercial and Bangchak Public

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

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

Diversification Opportunities for Siam Commercial and Bangchak Public

0.67

Correlation Coefficient

Siam Commercial  Bangchak Public

Poor diversification

The 3 months correlation between Siam and Bangchak is 0.67. Overlapping area represents the amount of risk that can be diversified away by holding The Siam Commercial and Bangchak Public in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Bangchak Public and Siam Commercial 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 The Siam Commercial are associated (or correlated) with Bangchak Public. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Bangchak Public has no effect on the direction of Siam Commercial i.e., Siam Commercial and Bangchak Public go up and down completely randomly.

Pair Corralation between Siam Commercial and Bangchak Public

Assuming the 90 days trading horizon Siam Commercial is expected to generate 1.05 times less return on investment than Bangchak Public. But when comparing it to its historical volatility, The Siam Commercial is 1.96 times less risky than Bangchak Public. It trades about 0.11 of its potential returns per unit of risk. Bangchak Public is currently generating about 0.06 of returns per unit of risk over similar time horizon. If you would invest  3,555  in Bangchak Public on December 30, 2024 and sell it today you would earn a total of  220.00  from holding Bangchak Public or generate 6.19% return on investment over 90 days.

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

The Siam Commercial  vs.  Bangchak Public

Siam Commercial

Risk-Adjusted Performance

OK

Compared to the overall equity markets, risk-adjusted returns on investments in The Siam Commercial are ranked lower than 8 (%) of all global equities and portfolios over the last 90 days. Despite somewhat weak fundamental drivers, Siam Commercial may actually be approaching a critical reversion point that can send shares even higher in April 2025.

Bangchak Public

Risk-Adjusted Performance

Insignificant

Compared to the overall equity markets, risk-adjusted returns on investments in Bangchak Public are ranked lower than 4 (%) of all global equities and portfolios over the last 90 days. Despite quite conflicting basic indicators, Bangchak Public may actually be approaching a critical reversion point that can send shares even higher in April 2025.

Pair Trading with Siam Commercial and Bangchak Public

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

The idea behind The Siam Commercial and Bangchak Public 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 Sign In To Macroaxis module to sign in to explore Macroaxis' wealth optimization platform and fintech modules.