Correlation Between MFC Asset and Bangkok Life

Can any of the company-specific risk be diversified away by investing in both MFC Asset and Bangkok Life 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 MFC Asset and Bangkok Life into the same portfolio, which is an essential part of the fundamental portfolio management process.

By analyzing existing cross correlation between MFC Asset Management and Bangkok Life Assurance, you can compare the effects of market volatilities on MFC Asset and Bangkok Life 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 MFC Asset with a short position of Bangkok Life. Check out your portfolio center. Please also check ongoing floating volatility patterns of MFC Asset and Bangkok Life.

Diversification Opportunities for MFC Asset and Bangkok Life

-0.17

Correlation Coefficient

MFC Asset  Bangkok Life

Good diversification

The 3 months correlation between MFC and Bangkok is -0.17. Overlapping area represents the amount of risk that can be diversified away by holding MFC Asset Management and Bangkok Life Assurance in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Bangkok Life Assurance and MFC Asset 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 MFC Asset Management are associated (or correlated) with Bangkok Life. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Bangkok Life Assurance has no effect on the direction of MFC Asset i.e., MFC Asset and Bangkok Life go up and down completely randomly.

Pair Corralation between MFC Asset and Bangkok Life

Assuming the 90 days trading horizon MFC Asset is expected to generate 33.77 times less return on investment than Bangkok Life. But when comparing it to its historical volatility, MFC Asset Management is 37.22 times less risky than Bangkok Life. It trades about 0.13 of its potential returns per unit of risk. Bangkok Life Assurance is currently generating about 0.11 of returns per unit of risk over similar time horizon. If you would invest  2,470  in Bangkok Life Assurance on September 13, 2024 and sell it today you would lose (380.00) from holding Bangkok Life Assurance or give up 15.38% of portfolio value over 90 days.

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

MFC Asset Management  vs.  Bangkok Life Assurance

MFC Asset Management

Risk-Adjusted Performance

9 of 100

OK

Compared to the overall equity markets, risk-adjusted returns on investments in MFC Asset Management are ranked lower than 9 (%) of all global equities and portfolios over the last 90 days. Despite quite conflicting fundamental indicators, MFC Asset disclosed solid returns over the last few months and may actually be approaching a breakup point.

Bangkok Life Assurance

Risk-Adjusted Performance

8 of 100

OK

Compared to the overall equity markets, risk-adjusted returns on investments in Bangkok Life Assurance are ranked lower than 8 (%) of all global equities and portfolios over the last 90 days. Despite somewhat weak fundamental drivers, Bangkok Life sustained solid returns over the last few months and may actually be approaching a breakup point.

Pair Trading with MFC Asset and Bangkok Life

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

The idea behind MFC Asset Management and Bangkok Life Assurance 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 Sign In To Macroaxis module to sign in to explore Macroaxis' wealth optimization platform and fintech modules.