Correlation Between Siam Commercial and TMBThanachart Bank

Can any of the company-specific risk be diversified away by investing in both Siam Commercial and TMBThanachart Bank 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 TMBThanachart Bank 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 TMBThanachart Bank Public, you can compare the effects of market volatilities on Siam Commercial and TMBThanachart Bank 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 TMBThanachart Bank. Check out your portfolio center. Please also check ongoing floating volatility patterns of Siam Commercial and TMBThanachart Bank.

Diversification Opportunities for Siam Commercial and TMBThanachart Bank

-0.02

Correlation Coefficient

Siam Commercial  TMBThanachart Bank

Good diversification

The 3 months correlation between Siam and TMBThanachart is -0.02. Overlapping area represents the amount of risk that can be diversified away by holding The Siam Commercial and TMBThanachart Bank Public in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on TMBThanachart Bank 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 TMBThanachart Bank. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of TMBThanachart Bank Public has no effect on the direction of Siam Commercial i.e., Siam Commercial and TMBThanachart Bank go up and down completely randomly.

Pair Corralation between Siam Commercial and TMBThanachart Bank

Assuming the 90 days trading horizon The Siam Commercial is expected to generate 147.25 times more return on investment than TMBThanachart Bank. However, Siam Commercial is 147.25 times more volatile than TMBThanachart Bank Public. It trades about 0.16 of its potential returns per unit of risk. TMBThanachart Bank Public is currently generating about 0.01 per unit of risk. If you would invest  10,945  in The Siam Commercial on September 2, 2024 and sell it today you would earn a total of  505.00  from holding The Siam Commercial or generate 4.61% return on investment over 90 days.

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

The Siam Commercial  vs.  TMBThanachart Bank Public

Siam Commercial

Risk-Adjusted Performance

12 of 100

Good

Compared to the overall equity markets, risk-adjusted returns on investments in The Siam Commercial are ranked lower than 12 (%) of all global equities and portfolios over the last 90 days. Despite somewhat weak fundamental drivers, Siam Commercial sustained solid returns over the last few months and may actually be approaching a breakup point.

TMBThanachart Bank Public

Risk-Adjusted Performance

0 of 100

Very Weak

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

Pair Trading with Siam Commercial and TMBThanachart Bank

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

The idea behind The Siam Commercial and TMBThanachart Bank 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 Odds Of Bankruptcy module to get analysis of equity chance of financial distress in the next 2 years.