Correlation Between PTT Global and Siam Cement

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

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

Diversification Opportunities for PTT Global and Siam Cement

0.08

Correlation Coefficient

PTT Global  Siam Cement

Significant diversification

The 3 months correlation between PTT and Siam is 0.08. Overlapping area represents the amount of risk that can be diversified away by holding PTT Global Chemical and The Siam Cement in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Siam Cement and PTT Global 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 Global Chemical 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 PTT Global i.e., PTT Global and Siam Cement go up and down completely randomly.

Pair Corralation between PTT Global and Siam Cement

Assuming the 90 days trading horizon PTT Global Chemical is expected to generate 24.56 times more return on investment than Siam Cement. However, PTT Global is 24.56 times more volatile than The Siam Cement. It trades about 0.13 of its potential returns per unit of risk. The Siam Cement is currently generating about -0.14 per unit of risk. If you would invest  0.00  in PTT Global Chemical on September 3, 2024 and sell it today you would earn a total of  2,525  from holding PTT Global Chemical or generate 9.223372036854776E16% return on investment over 90 days.

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

PTT Global Chemical  vs.  The Siam Cement

PTT Global Chemical

Risk-Adjusted Performance

9 of 100

OK

Compared to the overall equity markets, risk-adjusted returns on investments in PTT Global Chemical are ranked lower than 9 (%) of all global equities and portfolios over the last 90 days. Despite somewhat conflicting fundamental drivers, PTT Global sustained solid returns over the last few months and may actually be approaching a breakup point.

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 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 PTT Global and Siam Cement

The main advantage of trading using opposite PTT Global and Siam Cement positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if PTT Global 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 PTT Global Chemical 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.

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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 Volatility module to check portfolio volatility and analyze historical return density to properly model market risk.