Correlation Between Siam Cement and SCG Packaging

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

Diversification Opportunities for Siam Cement and SCG Packaging

0.98

Correlation Coefficient

Siam Cement  SCG Packaging

Almost no diversification

The 3 months correlation between Siam and SCG is 0.98. Overlapping area represents the amount of risk that can be diversified away by holding The Siam Cement and SCG Packaging Public in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on SCG Packaging 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 SCG Packaging. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of SCG Packaging Public has no effect on the direction of Siam Cement i.e., Siam Cement and SCG Packaging go up and down completely randomly.

Pair Corralation between Siam Cement and SCG Packaging

Assuming the 90 days trading horizon The Siam Cement is expected to generate 0.84 times more return on investment than SCG Packaging. However, The Siam Cement is 1.18 times less risky than SCG Packaging. It trades about -0.29 of its potential returns per unit of risk. SCG Packaging Public is currently generating about -0.32 per unit of risk. If you would invest  17,300  in The Siam Cement on October 11, 2024 and sell it today you would lose (1,900) from holding The Siam Cement or give up 10.98% 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.  SCG Packaging 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 conflicting performance in the last few months, the Stock's fundamental indicators remain quite persistent which may send shares a bit higher in February 2025. The latest mess may also be a sign of long-standing up-swing for the company institutional investors.

SCG Packaging Public

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days SCG Packaging Public has generated negative risk-adjusted returns adding no value to investors with long positions. Despite conflicting performance in the last few months, the Stock's forward-looking signals remain quite persistent which may send shares a bit higher in February 2025. The latest mess may also be a sign of long-standing up-swing for the company institutional investors.

Pair Trading with Siam Cement and SCG Packaging

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

The idea behind The Siam Cement and SCG Packaging 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.