Correlation Between TMBThanachart Bank and Assured Guaranty

Can any of the company-specific risk be diversified away by investing in both TMBThanachart Bank and Assured Guaranty 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 TMBThanachart Bank and Assured Guaranty into the same portfolio, which is an essential part of the fundamental portfolio management process.

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

Diversification Opportunities for TMBThanachart Bank and Assured Guaranty

-0.52

Correlation Coefficient

TMBThanachart Bank  Assured Guaranty

Excellent diversification

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

Pair Corralation between TMBThanachart Bank and Assured Guaranty

Assuming the 90 days trading horizon TMBThanachart Bank Public is expected to under-perform the Assured Guaranty. But the stock apears to be less risky and, when comparing its historical volatility, TMBThanachart Bank Public is 1.67 times less risky than Assured Guaranty. The stock trades about -0.05 of its potential returns per unit of risk. The Assured Guaranty is currently generating about 0.11 of returns per unit of risk over similar time horizon. If you would invest  6,925  in Assured Guaranty on September 22, 2024 and sell it today you would earn a total of  1,425  from holding Assured Guaranty or generate 20.58% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Against
Strength	Very Weak
Accuracy	98.48%
Values	Daily Returns

TMBThanachart Bank Public  vs.  Assured Guaranty

TMBThanachart Bank Public

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days TMBThanachart Bank Public has generated negative risk-adjusted returns adding no value to investors with long positions. Despite nearly stable basic indicators, TMBThanachart Bank is not utilizing all of its potentials. The newest stock price disturbance, may contribute to mid-run losses for the stockholders.

Assured Guaranty

Risk-Adjusted Performance

8 of 100

OK

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

Pair Trading with TMBThanachart Bank and Assured Guaranty

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

The idea behind TMBThanachart Bank Public and Assured Guaranty 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 Positions Ratings module to determine portfolio positions ratings based on digital equity recommendations. Macroaxis instant position ratings are based on combination of fundamental analysis and risk-adjusted market performance.