Correlation Between Siam Cement and Bangkok Bank

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

Diversification Opportunities for Siam Cement and Bangkok Bank

0.3

Correlation Coefficient

Siam Cement  Bangkok Bank

Weak diversification

The 3 months correlation between Siam and Bangkok is 0.3. Overlapping area represents the amount of risk that can be diversified away by holding The Siam Cement and Bangkok Bank Public in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Bangkok Bank 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 Bangkok Bank. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Bangkok Bank Public has no effect on the direction of Siam Cement i.e., Siam Cement and Bangkok Bank go up and down completely randomly.

Pair Corralation between Siam Cement and Bangkok Bank

Assuming the 90 days trading horizon The Siam Cement is expected to under-perform the Bangkok Bank. In addition to that, Siam Cement is 1.6 times more volatile than Bangkok Bank Public. It trades about -0.15 of its total potential returns per unit of risk. Bangkok Bank Public is currently generating about 0.09 per unit of volatility. If you would invest  13,752  in Bangkok Bank Public on August 31, 2024 and sell it today you would earn a total of  948.00  from holding Bangkok Bank Public or generate 6.89% return on investment over 90 days.

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

The Siam Cement  vs.  Bangkok Bank 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 December 2024. The latest mess may also be a sign of long-standing up-swing for the company institutional investors.

Bangkok Bank Public

Risk-Adjusted Performance

6 of 100

Modest

Compared to the overall equity markets, risk-adjusted returns on investments in Bangkok Bank Public are ranked lower than 6 (%) of all global equities and portfolios over the last 90 days. Despite quite weak essential indicators, Bangkok Bank may actually be approaching a critical reversion point that can send shares even higher in December 2024.

Pair Trading with Siam Cement and Bangkok Bank

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

The idea behind The Siam Cement and Bangkok 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 Bond Analysis module to evaluate and analyze corporate bonds as a potential investment for your portfolios..