Correlation Between Immobile and Bank Millennium
Can any of the company-specific risk be diversified away by investing in both Immobile 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 Immobile and Bank Millennium into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Immobile and Bank Millennium SA, you can compare the effects of market volatilities on Immobile 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 Immobile with a short position of Bank Millennium. Check out your portfolio center. Please also check ongoing floating volatility patterns of Immobile and Bank Millennium.
Diversification Opportunities for Immobile and Bank Millennium
0.15 | Correlation Coefficient |
Average diversification
The 3 months correlation between Immobile and Bank is 0.15. Overlapping area represents the amount of risk that can be diversified away by holding Immobile 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 Immobile 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 Immobile 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 Immobile i.e., Immobile and Bank Millennium go up and down completely randomly.
Pair Corralation between Immobile and Bank Millennium
Assuming the 90 days trading horizon Immobile is expected to under-perform the Bank Millennium. But the stock apears to be less risky and, when comparing its historical volatility, Immobile is 1.06 times less risky than Bank Millennium. The stock trades about -0.05 of its potential returns per unit of risk. The Bank Millennium SA is currently generating about 0.09 of returns per unit of risk over similar time horizon. If you would invest 809.00 in Bank Millennium SA on August 24, 2024 and sell it today you would earn a total of 31.00 from holding Bank Millennium SA or generate 3.83% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Insignificant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Immobile vs. Bank Millennium SA
Performance |
| Timeline |
| Immobile |
| Bank Millennium SA |
Immobile and Bank Millennium Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Immobile and Bank Millennium
The main advantage of trading using opposite Immobile and Bank Millennium positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Immobile 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.The idea behind Immobile and Bank Millennium SA 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.| Bank Millennium vs. UniCredit SpA | Bank Millennium vs. Santander Bank Polska | Bank Millennium vs. Bank Polska Kasa | Bank Millennium vs. mBank 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 Portfolio Center module to all portfolio management and optimization tools to improve performance of your portfolios.
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