Correlation Between Siam Commercial and Krung Thai

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

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

Diversification Opportunities for Siam Commercial and Krung Thai

0.12

Correlation Coefficient

Siam Commercial  Krung Thai

Average diversification

The 3 months correlation between Siam and Krung is 0.12. Overlapping area represents the amount of risk that can be diversified away by holding The Siam Commercial 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 Siam Commercial 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 The Siam Commercial 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 Siam Commercial i.e., Siam Commercial and Krung Thai go up and down completely randomly.

Pair Corralation between Siam Commercial and Krung Thai

Assuming the 90 days trading horizon The Siam Commercial is expected to generate 49.49 times more return on investment than Krung Thai. However, Siam Commercial is 49.49 times more volatile than Krung Thai Bank. It trades about 0.06 of its potential returns per unit of risk. Krung Thai Bank is currently generating about 0.03 per unit of risk. If you would invest  10,310  in The Siam Commercial on September 5, 2024 and sell it today you would earn a total of  1,290  from holding The Siam Commercial or generate 12.51% return on investment over 90 days.

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

The Siam Commercial  vs.  Krung Thai Bank

Siam Commercial

Risk-Adjusted Performance

9 of 100

OK

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

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 somewhat strong fundamental drivers, Krung Thai is not utilizing all of its potentials. The current stock price disturbance, may contribute to short-term losses for the investors.

Pair Trading with Siam Commercial and Krung Thai

The main advantage of trading using opposite Siam Commercial and Krung Thai positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Siam Commercial 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 The Siam Commercial 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.

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 Companies Directory module to evaluate performance of over 100,000 Stocks, Funds, and ETFs against different fundamentals.