Correlation Between IMC SA and Alior Bank
Can any of the company-specific risk be diversified away by investing in both IMC SA and Alior Bank 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 IMC SA and Alior Bank into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between IMC SA and Alior Bank SA, you can compare the effects of market volatilities on IMC SA and Alior Bank 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 IMC SA with a short position of Alior Bank. Check out your portfolio center. Please also check ongoing floating volatility patterns of IMC SA and Alior Bank.
Diversification Opportunities for IMC SA and Alior Bank
-0.2 | Correlation Coefficient |
Good diversification
The 3 months correlation between IMC and Alior is -0.2. Overlapping area represents the amount of risk that can be diversified away by holding IMC SA and Alior Bank SA in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Alior Bank SA and IMC SA 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 IMC SA are associated (or correlated) with Alior Bank. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Alior Bank SA has no effect on the direction of IMC SA i.e., IMC SA and Alior Bank go up and down completely randomly.
Pair Corralation between IMC SA and Alior Bank
Assuming the 90 days trading horizon IMC SA is expected to generate 1.39 times more return on investment than Alior Bank. However, IMC SA is 1.39 times more volatile than Alior Bank SA. It trades about 0.13 of its potential returns per unit of risk. Alior Bank SA is currently generating about 0.0 per unit of risk. If you would invest 970.00 in IMC SA on September 12, 2024 and sell it today you would earn a total of 590.00 from holding IMC SA or generate 60.82% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Insignificant |
| Accuracy | 99.21% |
| Values | Daily Returns |
IMC SA vs. Alior Bank SA
Performance |
| Timeline |
| IMC SA |
| Alior Bank SA |
IMC SA and Alior Bank Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with IMC SA and Alior Bank
The main advantage of trading using opposite IMC SA and Alior Bank positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if IMC SA position performs unexpectedly, Alior Bank 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 Alior Bank will offset losses from the drop in Alior Bank's long position.| IMC SA vs. LSI Software SA | IMC SA vs. Movie Games SA | IMC SA vs. Echo Investment SA | IMC SA vs. Carlson Investments SA |
| Alior Bank vs. Banco Santander SA | Alior Bank vs. Asseco Business Solutions | Alior Bank vs. Detalion Games SA | Alior Bank vs. Asseco South Eastern |
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 Piotroski F Score module to get Piotroski F Score based on the binary analysis strategy of nine different fundamentals.
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