Correlation Between Kruk SA and Bank Millennium
Can any of the company-specific risk be diversified away by investing in both Kruk SA 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 Kruk SA and Bank Millennium into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Kruk SA and Bank Millennium SA, you can compare the effects of market volatilities on Kruk SA 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 Kruk SA with a short position of Bank Millennium. Check out your portfolio center. Please also check ongoing floating volatility patterns of Kruk SA and Bank Millennium.
Diversification Opportunities for Kruk SA and Bank Millennium
0.08 | Correlation Coefficient |
Significant diversification
The 3 months correlation between Kruk and Bank is 0.08. Overlapping area represents the amount of risk that can be diversified away by holding Kruk 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 Kruk 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 Kruk 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 Kruk SA i.e., Kruk SA and Bank Millennium go up and down completely randomly.
Pair Corralation between Kruk SA and Bank Millennium
Assuming the 90 days trading horizon Kruk SA is expected to generate 0.59 times more return on investment than Bank Millennium. However, Kruk SA is 1.69 times less risky than Bank Millennium. It trades about -0.03 of its potential returns per unit of risk. Bank Millennium SA is currently generating about -0.05 per unit of risk. If you would invest 43,580 in Kruk SA on September 13, 2024 and sell it today you would lose (440.00) from holding Kruk SA or give up 1.01% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Insignificant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Kruk SA vs. Bank Millennium SA
Performance |
| Timeline |
| Kruk SA |
| Bank Millennium SA |
Kruk SA and Bank Millennium Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Kruk SA and Bank Millennium
The main advantage of trading using opposite Kruk SA and Bank Millennium positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Kruk SA 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.| Kruk SA vs. MW Trade SA | Kruk SA vs. Asseco Business Solutions | Kruk SA vs. Detalion Games SA | Kruk SA vs. Asseco South Eastern |
| Bank Millennium vs. Noble Financials SA | Bank Millennium vs. Igoria Trade SA | Bank Millennium vs. Mercator Medical SA | Bank Millennium vs. BNP Paribas Bank |
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 Alpha Finder module to use alpha and beta coefficients to find investment opportunities after accounting for the risk.
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