Correlation Between Siam Cement and Krung Thai

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

Diversification Opportunities for Siam Cement and Krung Thai

0.04

Correlation Coefficient

Siam Cement  Krung Thai

Significant diversification

The 3 months correlation between Siam and Krung is 0.04. Overlapping area represents the amount of risk that can be diversified away by holding The Siam Cement and Krung Thai Bank in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Krung Thai Bank 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 Krung Thai. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Krung Thai Bank has no effect on the direction of Siam Cement i.e., Siam Cement and Krung Thai go up and down completely randomly.

Pair Corralation between Siam Cement and Krung Thai

Assuming the 90 days trading horizon The Siam Cement is expected to under-perform the Krung Thai. In addition to that, Siam Cement is 1.03 times more volatile than Krung Thai Bank. It trades about -0.1 of its total potential returns per unit of risk. Krung Thai Bank is currently generating about 0.04 per unit of volatility. If you would invest  1,618  in Krung Thai Bank on September 23, 2024 and sell it today you would earn a total of  422.00  from holding Krung Thai Bank or generate 26.08% return on investment over 90 days.

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

The Siam Cement  vs.  Krung Thai Bank

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.

Krung Thai Bank

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Krung Thai Bank has generated negative risk-adjusted returns adding no value to investors with long positions. Despite quite persistent fundamental drivers, Krung Thai 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 Cement and Krung Thai

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

The idea behind The Siam Cement and Krung Thai Bank 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 Top Crypto Exchanges module to search and analyze digital assets across top global cryptocurrency exchanges.