Correlation Between Nusasiri Public and Siam Cement

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

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

Diversification Opportunities for Nusasiri Public and Siam Cement

0.89

Correlation Coefficient

Nusasiri Public  Siam Cement

Very poor diversification

The 3 months correlation between Nusasiri and Siam is 0.89. Overlapping area represents the amount of risk that can be diversified away by holding Nusasiri Public and The Siam Cement in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Siam Cement and Nusasiri Public 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 Nusasiri Public are associated (or correlated) with Siam Cement. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Siam Cement has no effect on the direction of Nusasiri Public i.e., Nusasiri Public and Siam Cement go up and down completely randomly.

Pair Corralation between Nusasiri Public and Siam Cement

Assuming the 90 days trading horizon Nusasiri Public is expected to under-perform the Siam Cement. In addition to that, Nusasiri Public is 2.09 times more volatile than The Siam Cement. It trades about -0.2 of its total potential returns per unit of risk. The Siam Cement is currently generating about -0.3 per unit of volatility. If you would invest  23,900  in The Siam Cement on September 24, 2024 and sell it today you would lose (7,150) from holding The Siam Cement or give up 29.92% of portfolio value over 90 days.

Time Period	3 Months [change]
Direction	Moves Together
Strength	Strong
Accuracy	98.39%
Values	Daily Returns

Nusasiri Public  vs.  The Siam Cement

Nusasiri Public

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Nusasiri 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 forward-looking signals remain quite persistent which may send shares a bit higher in January 2025. The latest mess may also be a sign of long-standing up-swing for the company institutional investors.

Siam Cement

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days The Siam Cement has generated negative risk-adjusted returns adding no value to investors with long positions. Despite weak performance in the last few months, the Stock's fundamental indicators remain quite persistent which may send shares a bit higher in January 2025. The latest mess may also be a sign of long-standing up-swing for the company institutional investors.

Pair Trading with Nusasiri Public and Siam Cement

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

The idea behind Nusasiri Public and The Siam Cement 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 Equity Analysis module to research over 250,000 global equities including funds, stocks and ETFs to find investment opportunities.