Correlation Between Bangkok Dusit and Bangkok Chain

Can any of the company-specific risk be diversified away by investing in both Bangkok Dusit and Bangkok Chain 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 Bangkok Chain 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 Bangkok Chain Hospital, you can compare the effects of market volatilities on Bangkok Dusit and Bangkok Chain 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 Bangkok Chain. Check out your portfolio center. Please also check ongoing floating volatility patterns of Bangkok Dusit and Bangkok Chain.

Diversification Opportunities for Bangkok Dusit and Bangkok Chain

0.15

Correlation Coefficient

Bangkok Dusit  Bangkok Chain

Average diversification

The 3 months correlation between Bangkok and Bangkok is 0.15. Overlapping area represents the amount of risk that can be diversified away by holding Bangkok Dusit Medical and Bangkok Chain Hospital in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Bangkok Chain Hospital 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 Bangkok Chain. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Bangkok Chain Hospital has no effect on the direction of Bangkok Dusit i.e., Bangkok Dusit and Bangkok Chain go up and down completely randomly.

Pair Corralation between Bangkok Dusit and Bangkok Chain

Assuming the 90 days trading horizon Bangkok Dusit Medical is expected to under-perform the Bangkok Chain. But the stock apears to be less risky and, when comparing its historical volatility, Bangkok Dusit Medical is 86.15 times less risky than Bangkok Chain. The stock trades about -0.23 of its potential returns per unit of risk. The Bangkok Chain Hospital is currently generating about 0.11 of returns per unit of risk over similar time horizon. If you would invest  1,773  in Bangkok Chain Hospital on September 27, 2024 and sell it today you would lose (243.00) from holding Bangkok Chain Hospital or give up 13.71% of portfolio value over 90 days.

Time Period	3 Months [change]
Direction	Moves Together
Strength	Insignificant
Accuracy	98.36%
Values	Daily Returns

Bangkok Dusit Medical  vs.  Bangkok Chain Hospital

Bangkok Dusit Medical

Risk-Adjusted Performance

0 of 100

Very Weak

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

Bangkok Chain Hospital

Risk-Adjusted Performance

8 of 100

OK

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

Pair Trading with Bangkok Dusit and Bangkok Chain

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

The idea behind Bangkok Dusit Medical and Bangkok Chain Hospital 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.