Correlation Between CP ALL and Thai Rung

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

Diversification Opportunities for CP ALL and Thai Rung

-0.34

Correlation Coefficient

CP ALL  Thai Rung

Very good diversification

The 3 months correlation between CPALL and Thai is -0.34. Overlapping area represents the amount of risk that can be diversified away by holding CP ALL Public 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 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 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 CP ALL i.e., CP ALL and Thai Rung go up and down completely randomly.

Pair Corralation between CP ALL and Thai Rung

Assuming the 90 days trading horizon CP ALL Public is expected to under-perform the Thai Rung. In addition to that, CP ALL is 1.8 times more volatile than Thai Rung Union. It trades about -0.17 of its total potential returns per unit of risk. Thai Rung Union is currently generating about 0.2 per unit of volatility. If you would invest  306.00  in Thai Rung Union on September 25, 2024 and sell it today you would earn a total of  34.00  from holding Thai Rung Union or generate 11.11% return on investment over 90 days.

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

CP ALL Public  vs.  Thai Rung Union

CP ALL Public

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days CP ALL Public 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 fundamental drivers remain somewhat strong which may send shares a bit higher in January 2025. The current disturbance may also be a sign of long term up-swing for the company 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 CP ALL and Thai Rung

The main advantage of trading using opposite CP ALL and Thai Rung positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if CP ALL 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 CP ALL Public 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 Commodity Channel module to use Commodity Channel Index to analyze current equity momentum.