Correlation Between MFC Nichada and KPN Property

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

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

Diversification Opportunities for MFC Nichada and KPN Property

-0.41

Correlation Coefficient

MFC Nichada  KPN Property

Very good diversification

The 3 months correlation between MFC and KPN is -0.41. Overlapping area represents the amount of risk that can be diversified away by holding MFC Nichada Thani Property and KPN Property in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on KPN Property and MFC Nichada 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 Nichada Thani Property are associated (or correlated) with KPN Property. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of KPN Property has no effect on the direction of MFC Nichada i.e., MFC Nichada and KPN Property go up and down completely randomly.

Pair Corralation between MFC Nichada and KPN Property

Assuming the 90 days trading horizon MFC Nichada Thani Property is expected to generate 0.14 times more return on investment than KPN Property. However, MFC Nichada Thani Property is 6.96 times less risky than KPN Property. It trades about 0.18 of its potential returns per unit of risk. KPN Property is currently generating about -0.23 per unit of risk. If you would invest  214.00  in MFC Nichada Thani Property on September 28, 2024 and sell it today you would earn a total of  24.00  from holding MFC Nichada Thani Property or generate 11.21% return on investment over 90 days.

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

MFC Nichada Thani Property  vs.  KPN Property

MFC Nichada Thani

Risk-Adjusted Performance

4 of 100

Insignificant

Compared to the overall equity markets, risk-adjusted returns on investments in MFC Nichada Thani Property are ranked lower than 4 (%) of all global equities and portfolios over the last 90 days. Despite quite conflicting forward-looking signals, MFC Nichada may actually be approaching a critical reversion point that can send shares even higher in January 2025.

KPN Property

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days KPN Property 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.

Pair Trading with MFC Nichada and KPN Property

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

The idea behind MFC Nichada Thani Property and KPN Property 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 Portfolio Volatility module to check portfolio volatility and analyze historical return density to properly model market risk.