Correlation Between TMT Steel and Siam Steel

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

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

Diversification Opportunities for TMT Steel and Siam Steel

0.92

Correlation Coefficient

TMT Steel  Siam Steel

Almost no diversification

The 3 months correlation between TMT and Siam is 0.92. Overlapping area represents the amount of risk that can be diversified away by holding TMT Steel Public and Siam Steel International in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Siam Steel International and TMT Steel 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 TMT Steel Public are associated (or correlated) with Siam Steel. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Siam Steel International has no effect on the direction of TMT Steel i.e., TMT Steel and Siam Steel go up and down completely randomly.

Pair Corralation between TMT Steel and Siam Steel

Assuming the 90 days trading horizon TMT Steel is expected to generate 1.03 times less return on investment than Siam Steel. But when comparing it to its historical volatility, TMT Steel Public is 1.0 times less risky than Siam Steel. It trades about 0.04 of its potential returns per unit of risk. Siam Steel International is currently generating about 0.04 of returns per unit of risk over similar time horizon. If you would invest  180.00  in Siam Steel International on October 10, 2024 and sell it today you would lose (80.00) from holding Siam Steel International or give up 44.44% of portfolio value over 90 days.

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

TMT Steel Public  vs.  Siam Steel International

TMT Steel Public

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days TMT Steel 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 basic 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.

Siam Steel International

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Siam Steel International 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 TMT Steel and Siam Steel

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

The idea behind TMT Steel Public and Siam Steel International 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 My Watchlist Analysis module to analyze my current watchlist and to refresh optimization strategy. Macroaxis watchlist is based on self-learning algorithm to remember stocks you like.