Correlation Between Siam Cement and Amanah Leasing

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

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

Diversification Opportunities for Siam Cement and Amanah Leasing

0.9

Correlation Coefficient

Siam Cement  Amanah Leasing

Almost no diversification

The 3 months correlation between Siam and Amanah is 0.9. Overlapping area represents the amount of risk that can be diversified away by holding The Siam Cement and Amanah Leasing Public in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Amanah Leasing Public and Siam Cement 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 Cement are associated (or correlated) with Amanah Leasing. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Amanah Leasing Public has no effect on the direction of Siam Cement i.e., Siam Cement and Amanah Leasing go up and down completely randomly.

Pair Corralation between Siam Cement and Amanah Leasing

Assuming the 90 days trading horizon The Siam Cement is expected to under-perform the Amanah Leasing. But the stock apears to be less risky and, when comparing its historical volatility, The Siam Cement is 1.06 times less risky than Amanah Leasing. The stock trades about -0.61 of its potential returns per unit of risk. The Amanah Leasing Public is currently generating about -0.2 of returns per unit of risk over similar time horizon. If you would invest  104.00  in Amanah Leasing Public on September 24, 2024 and sell it today you would lose (6.00) from holding Amanah Leasing Public or give up 5.77% of portfolio value over 90 days.

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

The Siam Cement  vs.  Amanah Leasing Public

Siam Cement

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days The Siam Cement has generated negative risk-adjusted returns adding no value to investors with long positions. Despite weak performance in the last few months, the Stock's fundamental indicators remain quite persistent which may send shares a bit higher in January 2025. The latest mess may also be a sign of long-standing up-swing for the company institutional investors.

Amanah Leasing Public

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Amanah Leasing Public has generated negative risk-adjusted returns adding no value to investors with long positions. Despite weak performance in the last few months, the Stock's basic indicators remain somewhat strong which may send shares a bit higher in January 2025. The current disturbance may also be a sign of long term up-swing for the company investors.

Pair Trading with Siam Cement and Amanah Leasing

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

The idea behind The Siam Cement and Amanah Leasing 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.

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 Risk-Return Analysis module to view associations between returns expected from investment and the risk you assume.