Correlation Between Thai Rung and CP ALL
Can any of the company-specific risk be diversified away by investing in both Thai Rung and CP ALL 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 Rung and CP ALL into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Thai Rung Union and CP ALL Public, you can compare the effects of market volatilities on Thai Rung and CP ALL 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 Rung with a short position of CP ALL. Check out your portfolio center. Please also check ongoing floating volatility patterns of Thai Rung and CP ALL.
Diversification Opportunities for Thai Rung and CP ALL
Very good diversification
The 3 months correlation between Thai and CPALL is -0.28. Overlapping area represents the amount of risk that can be diversified away by holding Thai Rung Union and CP ALL Public in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on CP ALL Public and Thai Rung 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 Rung Union are associated (or correlated) with CP ALL. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of CP ALL Public has no effect on the direction of Thai Rung i.e., Thai Rung and CP ALL go up and down completely randomly.
Pair Corralation between Thai Rung and CP ALL
Assuming the 90 days trading horizon Thai Rung Union is expected to generate 0.48 times more return on investment than CP ALL. However, Thai Rung Union is 2.07 times less risky than CP ALL. It trades about 0.3 of its potential returns per unit of risk. CP ALL Public is currently generating about -0.43 per unit of risk. If you would invest 318.00 in Thai Rung Union on September 24, 2024 and sell it today you would earn a total of 18.00 from holding Thai Rung Union or generate 5.66% return on investment over 90 days.
Time Period | 3 Months [change] |
Direction | Moves Against |
Strength | Insignificant |
Accuracy | 100.0% |
Values | Daily Returns |
Thai Rung Union vs. CP ALL Public
Performance |
Timeline |
Thai Rung Union |
CP ALL Public |
Thai Rung and CP ALL Volatility Contrast
Predicted Return Density |
Returns |
Pair Trading with Thai Rung and CP ALL
The main advantage of trading using opposite Thai Rung and CP ALL positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Thai Rung position performs unexpectedly, CP ALL 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 CP ALL will offset losses from the drop in CP ALL's long position.Thai Rung vs. CP ALL Public | Thai Rung vs. Bangkok Dusit Medical | Thai Rung vs. Airports of Thailand | Thai Rung vs. Kasikornbank Public |
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 Sign In To Macroaxis module to sign in to explore Macroaxis' wealth optimization platform and fintech modules.
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