Correlation Between Siam Cement and Siam Commercial

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

Diversification Opportunities for Siam Cement and Siam Commercial

-0.45

Correlation Coefficient

Siam Cement  Siam Commercial

Very good diversification

The 3 months correlation between Siam and Siam is -0.45. Overlapping area represents the amount of risk that can be diversified away by holding The Siam Cement and The Siam Commercial in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Siam Commercial 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 Siam Commercial. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Siam Commercial has no effect on the direction of Siam Cement i.e., Siam Cement and Siam Commercial go up and down completely randomly.

Pair Corralation between Siam Cement and Siam Commercial

Assuming the 90 days trading horizon The Siam Cement is expected to under-perform the Siam Commercial. In addition to that, Siam Cement is 3.28 times more volatile than The Siam Commercial. It trades about -0.03 of its total potential returns per unit of risk. The Siam Commercial is currently generating about 0.11 per unit of volatility. If you would invest  11,762  in The Siam Commercial on December 29, 2024 and sell it today you would earn a total of  788.00  from holding The Siam Commercial or generate 6.7% 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.  The Siam Commercial

Siam Cement

Risk-Adjusted Performance

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 quite persistent fundamental indicators, Siam Cement is not utilizing all of its potentials. The latest stock price mess, may contribute to short-term losses for the institutional investors.

Siam Commercial

Risk-Adjusted Performance

OK

Compared to the overall equity markets, risk-adjusted returns on investments in The Siam Commercial are ranked lower than 8 (%) of all global equities and portfolios over the last 90 days. Despite somewhat weak fundamental drivers, Siam Commercial may actually be approaching a critical reversion point that can send shares even higher in April 2025.

Pair Trading with Siam Cement and Siam Commercial

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

The idea behind The Siam Cement and The Siam Commercial 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 Bonds Directory module to find actively traded corporate debentures issued by US companies.