Correlation Between Siam Cement and MBK Public

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

Diversification Opportunities for Siam Cement and MBK Public

-0.57

Correlation Coefficient

Siam Cement  MBK Public

Excellent diversification

The 3 months correlation between Siam and MBK is -0.57. Overlapping area represents the amount of risk that can be diversified away by holding The Siam Cement and MBK Public in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on MBK 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 MBK Public. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of MBK Public has no effect on the direction of Siam Cement i.e., Siam Cement and MBK Public go up and down completely randomly.

Pair Corralation between Siam Cement and MBK Public

Assuming the 90 days trading horizon The Siam Cement is expected to under-perform the MBK Public. In addition to that, Siam Cement is 1.04 times more volatile than MBK Public. It trades about -0.1 of its total potential returns per unit of risk. MBK Public is currently generating about 0.1 per unit of volatility. If you would invest  1,591  in MBK Public on September 26, 2024 and sell it today you would earn a total of  359.00  from holding MBK Public or generate 22.56% return on investment over 90 days.

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

The Siam Cement  vs.  MBK 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.

MBK Public

Risk-Adjusted Performance

5 of 100

Modest

Compared to the overall equity markets, risk-adjusted returns on investments in MBK Public are ranked lower than 5 (%) of all global equities and portfolios over the last 90 days. Despite quite conflicting forward-looking signals, MBK Public may actually be approaching a critical reversion point that can send shares even higher in January 2025.

Pair Trading with Siam Cement and MBK Public

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

The idea behind The Siam Cement and MBK 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 Analyst Advice module to analyst recommendations and target price estimates broken down by several categories.