Correlation Between TQM Public and Bangkok Life

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

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

Diversification Opportunities for TQM Public and Bangkok Life

0.31

Correlation Coefficient

TQM Public  Bangkok Life

Weak diversification

The 3 months correlation between TQM and Bangkok is 0.31. Overlapping area represents the amount of risk that can be diversified away by holding TQM Public and Bangkok Life Assurance in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Bangkok Life Assurance and TQM Public 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 TQM Public are associated (or correlated) with Bangkok Life. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Bangkok Life Assurance has no effect on the direction of TQM Public i.e., TQM Public and Bangkok Life go up and down completely randomly.

Pair Corralation between TQM Public and Bangkok Life

Assuming the 90 days trading horizon TQM Public is expected to under-perform the Bangkok Life. But the stock apears to be less risky and, when comparing its historical volatility, TQM Public is 42.74 times less risky than Bangkok Life. The stock trades about -0.05 of its potential returns per unit of risk. The Bangkok Life Assurance is currently generating about 0.11 of returns per unit of risk over similar time horizon. If you would invest  2,470  in Bangkok Life Assurance on September 12, 2024 and sell it today you would lose (350.00) from holding Bangkok Life Assurance or give up 14.17% of portfolio value over 90 days.

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

TQM Public  vs.  Bangkok Life Assurance

TQM Public

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days TQM Public has generated negative risk-adjusted returns adding no value to investors with long positions. Despite latest conflicting performance, the Stock's primary indicators remain persistent and the latest mess on Wall Street may also be a sign of long-standing gains for the company institutional investors.

Bangkok Life Assurance

Risk-Adjusted Performance

8 of 100

OK

Compared to the overall equity markets, risk-adjusted returns on investments in Bangkok Life Assurance are ranked lower than 8 (%) of all global equities and portfolios over the last 90 days. Despite somewhat conflicting fundamental drivers, Bangkok Life sustained solid returns over the last few months and may actually be approaching a breakup point.

Pair Trading with TQM Public and Bangkok Life

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

The idea behind TQM Public and Bangkok Life Assurance 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 Premium Stories module to follow Macroaxis premium stories from verified contributors across different equity types, categories and coverage scope.