Correlation Between CP ALL and Siam Commercial

Can any of the company-specific risk be diversified away by investing in both CP ALL and Siam Commercial 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 CP ALL and Siam Commercial into the same portfolio, which is an essential part of the fundamental portfolio management process.

By analyzing existing cross correlation between CP ALL Public and The Siam Commercial, you can compare the effects of market volatilities on CP ALL and Siam Commercial 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 CP ALL with a short position of Siam Commercial. Check out your portfolio center. Please also check ongoing floating volatility patterns of CP ALL and Siam Commercial.

Diversification Opportunities for CP ALL and Siam Commercial

0.06

Correlation Coefficient

CP ALL  Siam Commercial

Significant diversification

The 3 months correlation between CPALL-R and Siam is 0.06. Overlapping area represents the amount of risk that can be diversified away by holding CP ALL Public and The Siam Commercial in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Siam Commercial and CP ALL 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 CP ALL Public are associated (or correlated) with Siam Commercial. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Siam Commercial has no effect on the direction of CP ALL i.e., CP ALL and Siam Commercial go up and down completely randomly.

Pair Corralation between CP ALL and Siam Commercial

Assuming the 90 days trading horizon CP ALL is expected to generate 1427.77 times less return on investment than Siam Commercial. But when comparing it to its historical volatility, CP ALL Public is 136.92 times less risky than Siam Commercial. It trades about 0.02 of its potential returns per unit of risk. The Siam Commercial is currently generating about 0.17 of returns per unit of risk over similar time horizon. If you would invest  0.00  in The Siam Commercial on September 3, 2024 and sell it today you would earn a total of  11,450  from holding The Siam Commercial or generate 9.223372036854776E16% return on investment over 90 days.

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

CP ALL Public  vs.  The Siam Commercial

CP ALL Public

Risk-Adjusted Performance

1 of 100

Weak

Compared to the overall equity markets, risk-adjusted returns on investments in CP ALL Public are ranked lower than 1 (%) of all global equities and portfolios over the last 90 days. Even with relatively invariable essential indicators, CP ALL is not utilizing all of its potentials. The current stock price agitation, may contribute to short-term losses for the retail investors.

Siam Commercial

Risk-Adjusted Performance

13 of 100

Good

Compared to the overall equity markets, risk-adjusted returns on investments in The Siam Commercial are ranked lower than 13 (%) of all global equities and portfolios over the last 90 days. Despite somewhat weak fundamental drivers, Siam Commercial sustained solid returns over the last few months and may actually be approaching a breakup point.

Pair Trading with CP ALL and Siam Commercial

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

The idea behind CP ALL Public and The Siam Commercial 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.

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 Bond Analysis module to evaluate and analyze corporate bonds as a potential investment for your portfolios..