Correlation Between Siam Commercial and CP ALL

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Can any of the company-specific risk be diversified away by investing in both Siam Commercial and CP ALL 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 Commercial and CP ALL into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between The Siam Commercial and CP ALL Public, you can compare the effects of market volatilities on Siam Commercial and CP ALL 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 Commercial with a short position of CP ALL. Check out your portfolio center. Please also check ongoing floating volatility patterns of Siam Commercial and CP ALL.

Diversification Opportunities for Siam Commercial and CP ALL

0.27
  Correlation Coefficient

Modest diversification

The 3 months correlation between Siam and CPALL-R is 0.27. Overlapping area represents the amount of risk that can be diversified away by holding The Siam Commercial and CP ALL Public in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on CP ALL Public and Siam Commercial 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 Commercial are associated (or correlated) with CP ALL. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of CP ALL Public has no effect on the direction of Siam Commercial i.e., Siam Commercial and CP ALL go up and down completely randomly.

Pair Corralation between Siam Commercial and CP ALL

Assuming the 90 days trading horizon The Siam Commercial is expected to under-perform the CP ALL. But the stock apears to be less risky and, when comparing its historical volatility, The Siam Commercial is 1.69 times less risky than CP ALL. The stock trades about -0.06 of its potential returns per unit of risk. The CP ALL Public is currently generating about -0.01 of returns per unit of risk over similar time horizon. If you would invest  4,891  in CP ALL Public on April 23, 2025 and sell it today you would lose (66.00) from holding CP ALL Public or give up 1.35% of portfolio value over 90 days.
Time Period3 Months [change]
DirectionMoves Together 
StrengthVery Weak
Accuracy98.31%
ValuesDaily Returns

The Siam Commercial  vs.  CP ALL Public

 Performance 
       Timeline  
Siam Commercial 

Risk-Adjusted Performance

Very Weak

 
Weak
 
Strong
Over the last 90 days The Siam Commercial has generated negative risk-adjusted returns adding no value to investors with long positions. Despite somewhat strong fundamental drivers, Siam Commercial is not utilizing all of its potentials. The current stock price disturbance, may contribute to short-term losses for the investors.
CP ALL Public 

Risk-Adjusted Performance

Very Weak

 
Weak
 
Strong
Over the last 90 days CP ALL Public has generated negative risk-adjusted returns adding no value to investors with long positions. Even with relatively invariable essential indicators, CP ALL is not utilizing all of its potentials. The current stock price agitation, may contribute to short-term losses for the retail investors.

Siam Commercial and CP ALL Volatility Contrast

   Predicted Return Density   
       Returns  

Pair Trading with Siam Commercial and CP ALL

The main advantage of trading using opposite Siam Commercial and CP ALL positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Siam Commercial position performs unexpectedly, CP ALL 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 CP ALL will offset losses from the drop in CP ALL's long position.
The idea behind The Siam Commercial and CP ALL 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 Share Portfolio module to track or share privately all of your investments from the convenience of any device.

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