Correlation Between PTT Public and Bangkok Bank

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

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

Diversification Opportunities for PTT Public and Bangkok Bank

0.19

Correlation Coefficient

PTT Public  Bangkok Bank

Average diversification

The 3 months correlation between PTT and Bangkok is 0.19. Overlapping area represents the amount of risk that can be diversified away by holding PTT Public and Bangkok Bank Public in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Bangkok Bank Public and PTT 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 PTT Public are associated (or correlated) with Bangkok Bank. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Bangkok Bank Public has no effect on the direction of PTT Public i.e., PTT Public and Bangkok Bank go up and down completely randomly.

Pair Corralation between PTT Public and Bangkok Bank

Assuming the 90 days trading horizon PTT Public is expected to under-perform the Bangkok Bank. But the stock apears to be less risky and, when comparing its historical volatility, PTT Public is 1.16 times less risky than Bangkok Bank. The stock trades about -0.04 of its potential returns per unit of risk. The Bangkok Bank Public is currently generating about 0.09 of returns per unit of risk over similar time horizon. If you would invest  13,900  in Bangkok Bank Public on September 3, 2024 and sell it today you would earn a total of  1,050  from holding Bangkok Bank Public or generate 7.55% return on investment over 90 days.

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

PTT Public  vs.  Bangkok Bank Public

PTT Public

Risk-Adjusted Performance

0 of 100

Very Weak

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

Bangkok Bank Public

Risk-Adjusted Performance

7 of 100

OK

Compared to the overall equity markets, risk-adjusted returns on investments in Bangkok Bank Public are ranked lower than 7 (%) of all global equities and portfolios over the last 90 days. Despite quite conflicting essential indicators, Bangkok Bank may actually be approaching a critical reversion point that can send shares even higher in January 2025.

Pair Trading with PTT Public and Bangkok Bank

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

The idea behind PTT Public and Bangkok Bank 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 Portfolio Diagnostics module to use generated alerts and portfolio events aggregator to diagnose current holdings.