Correlation Between Thai Rung and Thaire Life

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

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

Diversification Opportunities for Thai Rung and Thaire Life

-0.39

Correlation Coefficient

Thai Rung  Thaire Life

Very good diversification

The 3 months correlation between Thai and Thaire is -0.39. Overlapping area represents the amount of risk that can be diversified away by holding Thai Rung Union and Thaire Life Assurance in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Thaire Life Assurance and Thai Rung 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 Thai Rung Union are associated (or correlated) with Thaire Life. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Thaire Life Assurance has no effect on the direction of Thai Rung i.e., Thai Rung and Thaire Life go up and down completely randomly.

Pair Corralation between Thai Rung and Thaire Life

Assuming the 90 days trading horizon Thai Rung Union is expected to generate 1.0 times more return on investment than Thaire Life. However, Thai Rung Union is 1.0 times less risky than Thaire Life. It trades about 0.09 of its potential returns per unit of risk. Thaire Life Assurance is currently generating about 0.09 per unit of risk. If you would invest  270.00  in Thai Rung Union on September 28, 2024 and sell it today you would earn a total of  72.00  from holding Thai Rung Union or generate 26.67% return on investment over 90 days.

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

Thai Rung Union  vs.  Thaire Life Assurance

Thai Rung Union

Risk-Adjusted Performance

14 of 100

Good

Compared to the overall equity markets, risk-adjusted returns on investments in Thai Rung Union are ranked lower than 14 (%) of all global equities and portfolios over the last 90 days. Despite quite weak basic indicators, Thai Rung may actually be approaching a critical reversion point that can send shares even higher in January 2025.

Thaire Life Assurance

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Thaire Life Assurance has generated negative risk-adjusted returns adding no value to investors with long positions. Despite weak 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 Thai Rung and Thaire Life

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

The idea behind Thai Rung Union and Thaire 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.

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 Volatility module to check portfolio volatility and analyze historical return density to properly model market risk.