Correlation Between SCB X and Siam Commercial

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

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

Diversification Opportunities for SCB X and Siam Commercial

0.26

Correlation Coefficient

SCB X  Siam Commercial

Modest diversification

The 3 months correlation between SCB and Siam is 0.26. Overlapping area represents the amount of risk that can be diversified away by holding SCB X Public and The Siam Commercial in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Siam Commercial and SCB X 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 SCB X Public are associated (or correlated) with Siam Commercial. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Siam Commercial has no effect on the direction of SCB X i.e., SCB X and Siam Commercial go up and down completely randomly.

Pair Corralation between SCB X and Siam Commercial

Assuming the 90 days trading horizon SCB X is expected to generate 222.07 times less return on investment than Siam Commercial. But when comparing it to its historical volatility, SCB X Public is 157.97 times less risky than Siam Commercial. It trades about 0.12 of its potential returns per unit of risk. The Siam Commercial is currently generating about 0.17 of returns per unit of risk over similar time horizon. If you would invest  0.00  in The Siam Commercial on September 3, 2024 and sell it today you would earn a total of  11,450  from holding The Siam Commercial or generate 9.223372036854776E16% return on investment over 90 days.

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

SCB X Public  vs.  The Siam Commercial

SCB X Public

Risk-Adjusted Performance

9 of 100

OK

Compared to the overall equity markets, risk-adjusted returns on investments in SCB X Public are ranked lower than 9 (%) of all global equities and portfolios over the last 90 days. Despite quite weak fundamental drivers, SCB X may actually be approaching a critical reversion point that can send shares even higher in January 2025.

Siam Commercial

Risk-Adjusted Performance

13 of 100

Good

Compared to the overall equity markets, risk-adjusted returns on investments in The Siam Commercial are ranked lower than 13 (%) 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.

Pair Trading with SCB X and Siam Commercial

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

The idea behind SCB X Public and The Siam Commercial 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 Portfolio Center module to all portfolio management and optimization tools to improve performance of your portfolios.