Correlation Between Bangkok Dusit and Thai Rung

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

Diversification Opportunities for Bangkok Dusit and Thai Rung

-0.35

Correlation Coefficient

Bangkok Dusit  Thai Rung

Very good diversification

The 3 months correlation between Bangkok and Thai is -0.35. Overlapping area represents the amount of risk that can be diversified away by holding Bangkok Dusit Medical and Thai Rung Union in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Thai Rung Union 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 Thai Rung. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Thai Rung Union has no effect on the direction of Bangkok Dusit i.e., Bangkok Dusit and Thai Rung go up and down completely randomly.

Pair Corralation between Bangkok Dusit and Thai Rung

Assuming the 90 days trading horizon Bangkok Dusit Medical is expected to under-perform the Thai Rung. But the stock apears to be less risky and, when comparing its historical volatility, Bangkok Dusit Medical is 34.49 times less risky than Thai Rung. The stock trades about -0.02 of its potential returns per unit of risk. The Thai Rung Union is currently generating about 0.04 of returns per unit of risk over similar time horizon. If you would invest  519.00  in Thai Rung Union on September 25, 2024 and sell it today you would lose (179.00) from holding Thai Rung Union or give up 34.49% of portfolio value over 90 days.

Time Period	3 Months [change]
Direction	Moves Against
Strength	Insignificant
Accuracy	99.79%
Values	Daily Returns

Bangkok Dusit Medical  vs.  Thai Rung Union

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.

Thai Rung Union

Risk-Adjusted Performance

15 of 100

Good

Compared to the overall equity markets, risk-adjusted returns on investments in Thai Rung Union are ranked lower than 15 (%) of all global equities and portfolios over the last 90 days. Despite quite weak basic indicators, Thai Rung may actually be approaching a critical reversion point that can send shares even higher in January 2025.

Pair Trading with Bangkok Dusit and Thai Rung

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

The idea behind Bangkok Dusit Medical and Thai Rung Union 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 Stock Screener module to find equities using a custom stock filter or screen asymmetry in trading patterns, price, volume, or investment outlook..