Correlation Between CH Karnchang and Siam Cement
Can any of the company-specific risk be diversified away by investing in both CH Karnchang and Siam Cement 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 CH Karnchang and Siam Cement into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between CH Karnchang Public and The Siam Cement, you can compare the effects of market volatilities on CH Karnchang and Siam Cement 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 CH Karnchang with a short position of Siam Cement. Check out your portfolio center. Please also check ongoing floating volatility patterns of CH Karnchang and Siam Cement.
Diversification Opportunities for CH Karnchang and Siam Cement
0.67 | Correlation Coefficient |
Poor diversification
The 3 months correlation between CH Karnchang and Siam is 0.67. Overlapping area represents the amount of risk that can be diversified away by holding CH Karnchang Public and The Siam Cement in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Siam Cement and CH Karnchang 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 CH Karnchang Public are associated (or correlated) with Siam Cement. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Siam Cement has no effect on the direction of CH Karnchang i.e., CH Karnchang and Siam Cement go up and down completely randomly.
Pair Corralation between CH Karnchang and Siam Cement
Assuming the 90 days horizon CH Karnchang Public is expected to generate 0.94 times more return on investment than Siam Cement. However, CH Karnchang Public is 1.07 times less risky than Siam Cement. It trades about -0.1 of its potential returns per unit of risk. The Siam Cement is currently generating about -0.33 per unit of risk. If you would invest 2,050 in CH Karnchang Public on September 24, 2024 and sell it today you would lose (230.00) from holding CH Karnchang Public or give up 11.22% of portfolio value over 90 days.
Time Period | 3 Months [change] |
Direction | Moves Together |
Strength | Significant |
Accuracy | 100.0% |
Values | Daily Returns |
CH Karnchang Public vs. The Siam Cement
Performance |
Timeline |
CH Karnchang Public |
Siam Cement |
CH Karnchang and Siam Cement Volatility Contrast
Predicted Return Density |
Returns |
Pair Trading with CH Karnchang and Siam Cement
The main advantage of trading using opposite CH Karnchang and Siam Cement positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if CH Karnchang position performs unexpectedly, Siam Cement 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 Siam Cement will offset losses from the drop in Siam Cement's long position.CH Karnchang vs. Land and Houses | CH Karnchang vs. Krung Thai Bank | CH Karnchang vs. Bangkok Bank Public | CH Karnchang vs. The Siam Cement |
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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 Commodity Directory module to find actively traded commodities issued by global exchanges.
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