Correlation Between Union Auction and Siam City

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

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

Diversification Opportunities for Union Auction and Siam City

-0.04

Correlation Coefficient

Union Auction  Siam City

Good diversification

The 3 months correlation between Union and Siam is -0.04. Overlapping area represents the amount of risk that can be diversified away by holding Union Auction Public and Siam City Cement in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Siam City Cement and Union Auction 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 Union Auction Public are associated (or correlated) with Siam City. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Siam City Cement has no effect on the direction of Union Auction i.e., Union Auction and Siam City go up and down completely randomly.

Pair Corralation between Union Auction and Siam City

Assuming the 90 days trading horizon Union Auction Public is expected to under-perform the Siam City. But the stock apears to be less risky and, when comparing its historical volatility, Union Auction Public is 97.24 times less risky than Siam City. The stock trades about -0.06 of its potential returns per unit of risk. The Siam City Cement is currently generating about 0.12 of returns per unit of risk over similar time horizon. If you would invest  14,650  in Siam City Cement on September 12, 2024 and sell it today you would earn a total of  1,600  from holding Siam City Cement or generate 10.92% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Against
Strength	Insignificant
Accuracy	99.19%
Values	Daily Returns

Union Auction Public  vs.  Siam City Cement

Union Auction Public

Risk-Adjusted Performance

0 of 100

Very Weak

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

Siam City Cement

Risk-Adjusted Performance

9 of 100

OK

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

Pair Trading with Union Auction and Siam City

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

The idea behind Union Auction Public and Siam City Cement 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 Portfolio Analyzer module to portfolio analysis module that provides access to portfolio diagnostics and optimization engine.