Correlation Between Thai Life and MCOT Public

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

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

Diversification Opportunities for Thai Life and MCOT Public

-0.67

Correlation Coefficient

Thai Life  MCOT Public

Excellent diversification

The 3 months correlation between Thai and MCOT is -0.67. Overlapping area represents the amount of risk that can be diversified away by holding Thai Life Insurance and MCOT Public in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on MCOT Public and Thai Life 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 Life Insurance are associated (or correlated) with MCOT Public. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of MCOT Public has no effect on the direction of Thai Life i.e., Thai Life and MCOT Public go up and down completely randomly.

Pair Corralation between Thai Life and MCOT Public

Assuming the 90 days trading horizon Thai Life Insurance is expected to generate 0.64 times more return on investment than MCOT Public. However, Thai Life Insurance is 1.57 times less risky than MCOT Public. It trades about 0.08 of its potential returns per unit of risk. MCOT Public is currently generating about -0.22 per unit of risk. If you would invest  1,050  in Thai Life Insurance on December 26, 2024 and sell it today you would earn a total of  120.00  from holding Thai Life Insurance or generate 11.43% return on investment over 90 days.

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

Thai Life Insurance  vs.  MCOT Public

Thai Life Insurance

Risk-Adjusted Performance

Modest

Compared to the overall equity markets, risk-adjusted returns on investments in Thai Life Insurance are ranked lower than 6 (%) of all global equities and portfolios over the last 90 days. Despite quite weak forward indicators, Thai Life disclosed solid returns over the last few months and may actually be approaching a breakup point.

MCOT Public

Risk-Adjusted Performance

Very Weak

Over the last 90 days MCOT 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 April 2025. The latest mess may also be a sign of long-standing up-swing for the company institutional investors.

Pair Trading with Thai Life and MCOT Public

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

The idea behind Thai Life Insurance and MCOT 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.

Check out your portfolio center.

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 USA ETFs module to find actively traded Exchange Traded Funds (ETF) in USA.