Correlation Between Siam City and PTT Public

Can any of the company-specific risk be diversified away by investing in both Siam City and PTT 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 City and PTT Public into the same portfolio, which is an essential part of the fundamental portfolio management process.

By analyzing existing cross correlation between Siam City Cement and PTT Public, you can compare the effects of market volatilities on Siam City and PTT 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 City with a short position of PTT Public. Check out your portfolio center. Please also check ongoing floating volatility patterns of Siam City and PTT Public.

Diversification Opportunities for Siam City and PTT Public

-0.14

Correlation Coefficient

Siam City  PTT Public

Good diversification

The 3 months correlation between Siam and PTT is -0.14. Overlapping area represents the amount of risk that can be diversified away by holding Siam City Cement and PTT Public in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on PTT Public and Siam City 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 Siam City Cement are associated (or correlated) with PTT Public. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of PTT Public has no effect on the direction of Siam City i.e., Siam City and PTT Public go up and down completely randomly.

Pair Corralation between Siam City and PTT Public

Assuming the 90 days trading horizon Siam City Cement is expected to generate 2.25 times more return on investment than PTT Public. However, Siam City is 2.25 times more volatile than PTT Public. It trades about 0.24 of its potential returns per unit of risk. PTT Public is currently generating about 0.01 per unit of risk. If you would invest  14,650  in Siam City Cement on October 9, 2024 and sell it today you would earn a total of  1,550  from holding Siam City Cement or generate 10.58% return on investment over 90 days.

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

Siam City Cement  vs.  PTT Public

Siam City Cement

Risk-Adjusted Performance

9 of 100

OK

Compared to the overall equity markets, risk-adjusted returns on investments in Siam City Cement are ranked lower than 9 (%) of all global equities and portfolios over the last 90 days. Despite somewhat conflicting fundamental indicators, Siam City sustained solid returns over the last few months and may actually be approaching a breakup point.

PTT Public

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days PTT Public has generated negative risk-adjusted returns adding no value to investors with long positions. Despite somewhat strong fundamental drivers, PTT Public is not utilizing all of its potentials. The latest stock price disturbance, may contribute to short-term losses for the investors.

Pair Trading with Siam City and PTT Public

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

The idea behind Siam City Cement and PTT 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 Idea Analyzer module to analyze all characteristics, volatility and risk-adjusted return of Macroaxis ideas.