Correlation Between PTT Global and Union Petrochemical

Can any of the company-specific risk be diversified away by investing in both PTT Global and Union Petrochemical 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 Union Petrochemical 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 Union Petrochemical Public, you can compare the effects of market volatilities on PTT Global and Union Petrochemical 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 Union Petrochemical. Check out your portfolio center. Please also check ongoing floating volatility patterns of PTT Global and Union Petrochemical.

Diversification Opportunities for PTT Global and Union Petrochemical

0.7

Correlation Coefficient

PTT Global  Union Petrochemical

Poor diversification

The 3 months correlation between PTT and Union is 0.7. Overlapping area represents the amount of risk that can be diversified away by holding PTT Global Chemical and Union Petrochemical Public in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Union Petrochemical 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 Union Petrochemical. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Union Petrochemical has no effect on the direction of PTT Global i.e., PTT Global and Union Petrochemical go up and down completely randomly.

Pair Corralation between PTT Global and Union Petrochemical

Assuming the 90 days trading horizon PTT Global Chemical is expected to generate 1.83 times more return on investment than Union Petrochemical. However, PTT Global is 1.83 times more volatile than Union Petrochemical Public. It trades about -0.07 of its potential returns per unit of risk. Union Petrochemical Public is currently generating about -0.23 per unit of risk. If you would invest  2,875  in PTT Global Chemical on September 15, 2024 and sell it today you would lose (395.00) from holding PTT Global Chemical or give up 13.74% of portfolio value over 90 days.

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

PTT Global Chemical  vs.  Union Petrochemical Public

PTT Global Chemical

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days PTT Global Chemical 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 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.

Union Petrochemical

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Union Petrochemical Public 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 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.

Pair Trading with PTT Global and Union Petrochemical

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

The idea behind PTT Global Chemical and Union Petrochemical 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.

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 Sign In To Macroaxis module to sign in to explore Macroaxis' wealth optimization platform and fintech modules.