Correlation Between Frasers Property and Singha Estate

Can any of the company-specific risk be diversified away by investing in both Frasers Property and Singha Estate 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 Frasers Property and Singha Estate into the same portfolio, which is an essential part of the fundamental portfolio management process.

By analyzing existing cross correlation between Frasers Property Public and Singha Estate Public, you can compare the effects of market volatilities on Frasers Property and Singha Estate 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 Frasers Property with a short position of Singha Estate. Check out your portfolio center. Please also check ongoing floating volatility patterns of Frasers Property and Singha Estate.

Diversification Opportunities for Frasers Property and Singha Estate

0.52

Correlation Coefficient

Frasers Property  Singha Estate

Very weak diversification

The 3 months correlation between Frasers and Singha is 0.52. Overlapping area represents the amount of risk that can be diversified away by holding Frasers Property Public and Singha Estate Public in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Singha Estate Public and Frasers Property 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 Frasers Property Public are associated (or correlated) with Singha Estate. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Singha Estate Public has no effect on the direction of Frasers Property i.e., Frasers Property and Singha Estate go up and down completely randomly.

Pair Corralation between Frasers Property and Singha Estate

Assuming the 90 days trading horizon Frasers Property Public is expected to under-perform the Singha Estate. In addition to that, Frasers Property is 1.03 times more volatile than Singha Estate Public. It trades about -0.06 of its total potential returns per unit of risk. Singha Estate Public is currently generating about 0.08 per unit of volatility. If you would invest  88.00  in Singha Estate Public on September 25, 2024 and sell it today you would earn a total of  3.00  from holding Singha Estate Public or generate 3.41% return on investment over 90 days.

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

Frasers Property Public  vs.  Singha Estate Public

Frasers Property Public

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Frasers Property Public has generated negative risk-adjusted returns adding no value to investors with long positions. Despite quite persistent basic indicators, Frasers Property is not utilizing all of its potentials. The latest stock price mess, may contribute to short-term losses for the institutional investors.

Singha Estate Public

Risk-Adjusted Performance

8 of 100

OK

Compared to the overall equity markets, risk-adjusted returns on investments in Singha Estate Public are ranked lower than 8 (%) of all global equities and portfolios over the last 90 days. Despite quite conflicting basic indicators, Singha Estate disclosed solid returns over the last few months and may actually be approaching a breakup point.

Pair Trading with Frasers Property and Singha Estate

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

The idea behind Frasers Property Public and Singha Estate 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 AI Portfolio Architect module to use AI to generate optimal portfolios and find profitable investment opportunities.