Correlation Between Siam Cement and Sub Sri

Can any of the company-specific risk be diversified away by investing in both Siam Cement and Sub Sri 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 Sub Sri 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 Sub Sri Thai, you can compare the effects of market volatilities on Siam Cement and Sub Sri 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 Sub Sri. Check out your portfolio center. Please also check ongoing floating volatility patterns of Siam Cement and Sub Sri.

Diversification Opportunities for Siam Cement and Sub Sri

-0.54

Correlation Coefficient

Siam Cement  Sub Sri

Excellent diversification

The 3 months correlation between Siam and Sub is -0.54. Overlapping area represents the amount of risk that can be diversified away by holding The Siam Cement and Sub Sri Thai in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Sub Sri Thai 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 Sub Sri. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Sub Sri Thai has no effect on the direction of Siam Cement i.e., Siam Cement and Sub Sri go up and down completely randomly.

Pair Corralation between Siam Cement and Sub Sri

Assuming the 90 days trading horizon The Siam Cement is expected to generate 3.46 times more return on investment than Sub Sri. However, Siam Cement is 3.46 times more volatile than Sub Sri Thai. It trades about 0.18 of its potential returns per unit of risk. Sub Sri Thai is currently generating about -0.11 per unit of risk. If you would invest  15,200  in The Siam Cement on April 25, 2025 and sell it today you would earn a total of  4,300  from holding The Siam Cement or generate 28.29% return on investment over 90 days.

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

The Siam Cement  vs.  Sub Sri Thai

Siam Cement

Risk-Adjusted Performance

Good

Compared to the overall equity markets, risk-adjusted returns on investments in The Siam Cement are ranked lower than 14 (%) of all global equities and portfolios over the last 90 days. Despite quite uncertain fundamental indicators, Siam Cement disclosed solid returns over the last few months and may actually be approaching a breakup point.

Sub Sri Thai

Risk-Adjusted Performance

Very Weak

Over the last 90 days Sub Sri Thai has generated negative risk-adjusted returns adding no value to investors with long positions. Despite somewhat strong fundamental drivers, Sub Sri is not utilizing all of its potentials. The newest stock price disturbance, may contribute to short-term losses for the investors.

Pair Trading with Siam Cement and Sub Sri

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

The idea behind The Siam Cement and Sub Sri Thai 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 Competition Analyzer module to analyze and compare many basic indicators for a group of related or unrelated entities.