Correlation Between PTT PCL and Transportadora

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

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

Diversification Opportunities for PTT PCL and Transportadora

0.85

Correlation Coefficient

PTT PCL  Transportadora

Very poor diversification

The 3 months correlation between PTT and Transportadora is 0.85. Overlapping area represents the amount of risk that can be diversified away by holding PTT PCL ADR and Transportadora de Gas in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Transportadora de Gas and PTT PCL 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 PCL ADR are associated (or correlated) with Transportadora. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Transportadora de Gas has no effect on the direction of PTT PCL i.e., PTT PCL and Transportadora go up and down completely randomly.

Pair Corralation between PTT PCL and Transportadora

Assuming the 90 days horizon PTT PCL ADR is expected to under-perform the Transportadora. But the pink sheet apears to be less risky and, when comparing its historical volatility, PTT PCL ADR is 2.68 times less risky than Transportadora. The pink sheet trades about 0.0 of its potential returns per unit of risk. The Transportadora de Gas is currently generating about 0.07 of returns per unit of risk over similar time horizon. If you would invest  1,158  in Transportadora de Gas on September 16, 2024 and sell it today you would earn a total of  1,807  from holding Transportadora de Gas or generate 156.04% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Together
Strength	Strong
Accuracy	99.8%
Values	Daily Returns

PTT PCL ADR  vs.  Transportadora de Gas

PTT PCL ADR

Risk-Adjusted Performance

10 of 100

OK

Compared to the overall equity markets, risk-adjusted returns on investments in PTT PCL ADR are ranked lower than 10 (%) of all global equities and portfolios over the last 90 days. In spite of fairly weak basic indicators, PTT PCL may actually be approaching a critical reversion point that can send shares even higher in January 2025.

Transportadora de Gas

Risk-Adjusted Performance

15 of 100

Good

Compared to the overall equity markets, risk-adjusted returns on investments in Transportadora de Gas are ranked lower than 15 (%) of all global equities and portfolios over the last 90 days. In spite of comparatively weak technical and fundamental indicators, Transportadora unveiled solid returns over the last few months and may actually be approaching a breakup point.

Pair Trading with PTT PCL and Transportadora

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

The idea behind PTT PCL ADR and Transportadora de Gas 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 ETFs module to find actively traded Exchange Traded Funds (ETF) from around the world.