Correlation Between PTT Public and Krung Thai

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

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

Diversification Opportunities for PTT Public and Krung Thai

0.27

Correlation Coefficient

PTT Public  Krung Thai

Modest diversification

The 3 months correlation between PTT and Krung is 0.27. Overlapping area represents the amount of risk that can be diversified away by holding PTT Public and Krung Thai Bank in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Krung Thai Bank 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 Krung Thai. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Krung Thai Bank has no effect on the direction of PTT Public i.e., PTT Public and Krung Thai go up and down completely randomly.

Pair Corralation between PTT Public and Krung Thai

Assuming the 90 days trading horizon PTT Public is expected to under-perform the Krung Thai. In addition to that, PTT Public is 1.24 times more volatile than Krung Thai Bank. It trades about -0.17 of its total potential returns per unit of risk. Krung Thai Bank is currently generating about -0.08 per unit of volatility. If you would invest  2,060  in Krung Thai Bank on September 5, 2024 and sell it today you would lose (30.00) from holding Krung Thai Bank or give up 1.46% of portfolio value over 90 days.

Time Period	3 Months [change]
Direction	Moves Together
Strength	Very Weak
Accuracy	95.65%
Values	Daily Returns

PTT Public  vs.  Krung Thai Bank

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.

Krung Thai Bank

Risk-Adjusted Performance

6 of 100

Modest

Compared to the overall equity markets, risk-adjusted returns on investments in Krung Thai Bank are ranked lower than 6 (%) of all global equities and portfolios over the last 90 days. Despite quite persistent fundamental drivers, Krung Thai is not utilizing all of its potentials. The latest stock price mess, may contribute to short-term losses for the institutional investors.

Pair Trading with PTT Public and Krung Thai

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

The idea behind PTT Public and Krung Thai Bank 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 Idea Breakdown module to analyze constituents of all Macroaxis ideas. Macroaxis investment ideas are predefined, sector-focused investing themes.