Correlation Between Thai Film and Ngern Tid

Can any of the company-specific risk be diversified away by investing in both Thai Film and Ngern Tid 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 Thai Film and Ngern Tid into the same portfolio, which is an essential part of the fundamental portfolio management process.

By analyzing existing cross correlation between Thai Film Industries and Ngern Tid Lor, you can compare the effects of market volatilities on Thai Film and Ngern Tid 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 Thai Film with a short position of Ngern Tid. Check out your portfolio center. Please also check ongoing floating volatility patterns of Thai Film and Ngern Tid.

Diversification Opportunities for Thai Film and Ngern Tid

0.87

Correlation Coefficient

Thai Film  Ngern Tid

Very poor diversification

The 3 months correlation between Thai and Ngern is 0.87. Overlapping area represents the amount of risk that can be diversified away by holding Thai Film Industries and Ngern Tid Lor in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Ngern Tid Lor and Thai Film 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 Thai Film Industries are associated (or correlated) with Ngern Tid. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Ngern Tid Lor has no effect on the direction of Thai Film i.e., Thai Film and Ngern Tid go up and down completely randomly.

Pair Corralation between Thai Film and Ngern Tid

Assuming the 90 days trading horizon Thai Film Industries is expected to generate 1.0 times more return on investment than Ngern Tid. However, Thai Film is 1.0 times more volatile than Ngern Tid Lor. It trades about 0.12 of its potential returns per unit of risk. Ngern Tid Lor is currently generating about 0.11 per unit of risk. If you would invest  7.00  in Thai Film Industries on September 2, 2024 and sell it today you would earn a total of  1.00  from holding Thai Film Industries or generate 14.29% return on investment over 90 days.

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

Thai Film Industries  vs.  Ngern Tid Lor

Thai Film Industries

Risk-Adjusted Performance

9 of 100

OK

Compared to the overall equity markets, risk-adjusted returns on investments in Thai Film Industries are ranked lower than 9 (%) of all global equities and portfolios over the last 90 days. Despite quite conflicting forward indicators, Thai Film disclosed solid returns over the last few months and may actually be approaching a breakup point.

Ngern Tid Lor

Risk-Adjusted Performance

8 of 100

OK

Compared to the overall equity markets, risk-adjusted returns on investments in Ngern Tid Lor are ranked lower than 8 (%) of all global equities and portfolios over the last 90 days. Despite somewhat conflicting fundamental indicators, Ngern Tid sustained solid returns over the last few months and may actually be approaching a breakup point.

Pair Trading with Thai Film and Ngern Tid

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

The idea behind Thai Film Industries and Ngern Tid Lor 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.