Correlation Between Alior Bank and Bank Millennium
Can any of the company-specific risk be diversified away by investing in both Alior Bank and Bank Millennium 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 Alior Bank and Bank Millennium into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Alior Bank SA and Bank Millennium SA, you can compare the effects of market volatilities on Alior Bank and Bank Millennium 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 Alior Bank with a short position of Bank Millennium. Check out your portfolio center. Please also check ongoing floating volatility patterns of Alior Bank and Bank Millennium.
Diversification Opportunities for Alior Bank and Bank Millennium
0.65 | Correlation Coefficient |
Poor diversification
The 3 months correlation between Alior and Bank is 0.65. Overlapping area represents the amount of risk that can be diversified away by holding Alior Bank SA and Bank Millennium SA in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Bank Millennium SA and Alior Bank 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 Alior Bank SA are associated (or correlated) with Bank Millennium. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Bank Millennium SA has no effect on the direction of Alior Bank i.e., Alior Bank and Bank Millennium go up and down completely randomly.
Pair Corralation between Alior Bank and Bank Millennium
Assuming the 90 days trading horizon Alior Bank SA is expected to generate 0.93 times more return on investment than Bank Millennium. However, Alior Bank SA is 1.07 times less risky than Bank Millennium. It trades about 0.1 of its potential returns per unit of risk. Bank Millennium SA is currently generating about 0.06 per unit of risk. If you would invest 3,277 in Alior Bank SA on August 27, 2024 and sell it today you would earn a total of 5,743 from holding Alior Bank SA or generate 175.25% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Alior Bank SA vs. Bank Millennium SA
Performance |
| Timeline |
| Alior Bank SA |
| Bank Millennium SA |
Alior Bank and Bank Millennium Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Alior Bank and Bank Millennium
The main advantage of trading using opposite Alior Bank and Bank Millennium positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Alior Bank position performs unexpectedly, Bank Millennium 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 Bank Millennium will offset losses from the drop in Bank Millennium's long position.| Alior Bank vs. New Tech Venture | Alior Bank vs. Igoria Trade SA | Alior Bank vs. PLAYWAY SA | Alior Bank vs. Creotech Instruments SA |
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 Top Crypto Exchanges module to search and analyze digital assets across top global cryptocurrency exchanges.
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