Correlation Between Bangkok Dusit and Saksiam Leasing

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

Diversification Opportunities for Bangkok Dusit and Saksiam Leasing

0.0

Correlation Coefficient

Bangkok Dusit  Saksiam Leasing

Pay attention - limited upside

The 3 months correlation between Bangkok and Saksiam is 0.0. Overlapping area represents the amount of risk that can be diversified away by holding Bangkok Dusit Medical and Saksiam Leasing Public in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Saksiam Leasing 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 Saksiam Leasing. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Saksiam Leasing Public has no effect on the direction of Bangkok Dusit i.e., Bangkok Dusit and Saksiam Leasing go up and down completely randomly.

Pair Corralation between Bangkok Dusit and Saksiam Leasing

Assuming the 90 days trading horizon Bangkok Dusit Medical is expected to under-perform the Saksiam Leasing. But the stock apears to be less risky and, when comparing its historical volatility, Bangkok Dusit Medical is 2.3 times less risky than Saksiam Leasing. The stock trades about -0.22 of its potential returns per unit of risk. The Saksiam Leasing Public is currently generating about -0.04 of returns per unit of risk over similar time horizon. If you would invest  560.00  in Saksiam Leasing Public on September 16, 2024 and sell it today you would lose (60.00) from holding Saksiam Leasing Public or give up 10.71% of portfolio value over 90 days.

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

Bangkok Dusit Medical  vs.  Saksiam Leasing Public

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.

Saksiam Leasing Public

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Saksiam Leasing Public has generated negative risk-adjusted returns adding no value to investors with long positions. Despite latest weak performance, the Stock's forward-looking signals remain persistent and the latest mess on Wall Street may also be a sign of long-standing gains for the company institutional investors.

Pair Trading with Bangkok Dusit and Saksiam Leasing

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

The idea behind Bangkok Dusit Medical and Saksiam Leasing 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 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.