Correlation Between Bangkok Dusit and PTT Public

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

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

Diversification Opportunities for Bangkok Dusit and PTT Public

-0.07

Correlation Coefficient

Bangkok Dusit  PTT Public

Good diversification

The 3 months correlation between Bangkok and PTT is -0.07. Overlapping area represents the amount of risk that can be diversified away by holding Bangkok Dusit Medical and PTT Public in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on PTT Public and Bangkok Dusit 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 Bangkok Dusit Medical are associated (or correlated) with PTT Public. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of PTT Public has no effect on the direction of Bangkok Dusit i.e., Bangkok Dusit and PTT Public go up and down completely randomly.

Pair Corralation between Bangkok Dusit and PTT Public

Assuming the 90 days trading horizon Bangkok Dusit Medical is expected to generate 130.65 times more return on investment than PTT Public. However, Bangkok Dusit is 130.65 times more volatile than PTT Public. It trades about 0.11 of its potential returns per unit of risk. PTT Public is currently generating about -0.07 per unit of risk. If you would invest  2,800  in Bangkok Dusit Medical on September 15, 2024 and sell it today you would lose (350.00) from holding Bangkok Dusit Medical or give up 12.5% of portfolio value over 90 days.

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

Bangkok Dusit Medical  vs.  PTT Public

Bangkok Dusit Medical

Risk-Adjusted Performance

8 of 100

OK

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

PTT Public

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days PTT Public has generated negative risk-adjusted returns adding no value to investors with long positions. Despite somewhat strong fundamental drivers, PTT Public is not utilizing all of its potentials. The latest stock price disturbance, may contribute to short-term losses for the investors.

Pair Trading with Bangkok Dusit and PTT Public

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

The idea behind Bangkok Dusit Medical and PTT 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.

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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 Sign In To Macroaxis module to sign in to explore Macroaxis' wealth optimization platform and fintech modules.