Correlation Between Siam City and Airports

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

Diversification Opportunities for Siam City and Airports

0.6

Correlation Coefficient

Siam City  Airports

Poor diversification

The 3 months correlation between Siam and Airports is 0.6. Overlapping area represents the amount of risk that can be diversified away by holding Siam City Cement and Airports of Thailand in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Airports of Thailand 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 Airports. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Airports of Thailand has no effect on the direction of Siam City i.e., Siam City and Airports go up and down completely randomly.

Pair Corralation between Siam City and Airports

Assuming the 90 days trading horizon Siam City Cement is expected to generate 0.41 times more return on investment than Airports. However, Siam City Cement is 2.43 times less risky than Airports. It trades about -0.12 of its potential returns per unit of risk. Airports of Thailand is currently generating about -0.22 per unit of risk. If you would invest  16,300  in Siam City Cement on October 22, 2024 and sell it today you would lose (150.00) from holding Siam City Cement or give up 0.92% of portfolio value over 90 days.

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

Siam City Cement  vs.  Airports of Thailand

Siam City Cement

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Siam City Cement has generated negative risk-adjusted returns adding no value to investors with long positions. Despite quite persistent forward-looking signals, Siam City is not utilizing all of its potentials. The latest stock price mess, may contribute to short-term losses for the institutional investors.

Airports of Thailand

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Airports of Thailand has generated negative risk-adjusted returns adding no value to investors with long positions. Despite latest weak performance, the Stock's basic indicators remain persistent and the latest mess on Wall Street may also be a sign of long-standing gains for the company institutional investors.

Pair Trading with Siam City and Airports

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

The idea behind Siam City Cement and Airports of Thailand 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 Portfolio Suggestion module to get suggestions outside of your existing asset allocation including your own model portfolios.