Correlation Between Siam Cement and Humanica Public

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

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

Diversification Opportunities for Siam Cement and Humanica Public

0.85

Correlation Coefficient

Siam Cement  Humanica Public

Very poor diversification

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

Pair Corralation between Siam Cement and Humanica Public

Assuming the 90 days trading horizon The Siam Cement is expected to under-perform the Humanica Public. In addition to that, Siam Cement is 1.15 times more volatile than Humanica Public. It trades about -0.3 of its total potential returns per unit of risk. Humanica Public is currently generating about -0.21 per unit of volatility. If you would invest  1,130  in Humanica Public on September 15, 2024 and sell it today you would lose (220.00) from holding Humanica Public or give up 19.47% of portfolio value over 90 days.

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

The Siam Cement  vs.  Humanica Public

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 conflicting performance in the last few months, the Stock's fundamental indicators 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.

Humanica Public

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Humanica Public 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.

Pair Trading with Siam Cement and Humanica Public

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

The idea behind The Siam Cement and Humanica 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.

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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 Pair Correlation module to compare performance and examine fundamental relationship between any two equity instruments.