Correlation Between MBank SA and Allegroeu
Can any of the company-specific risk be diversified away by investing in both MBank SA and Allegroeu 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 MBank SA and Allegroeu into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between mBank SA and Allegroeu SA, you can compare the effects of market volatilities on MBank SA and Allegroeu 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 MBank SA with a short position of Allegroeu. Check out your portfolio center. Please also check ongoing floating volatility patterns of MBank SA and Allegroeu.
Diversification Opportunities for MBank SA and Allegroeu
Very poor diversification
The 3 months correlation between MBank and Allegroeu is 0.8. Overlapping area represents the amount of risk that can be diversified away by holding mBank SA and Allegroeu SA in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Allegroeu SA and MBank 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 mBank SA are associated (or correlated) with Allegroeu. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Allegroeu SA has no effect on the direction of MBank SA i.e., MBank SA and Allegroeu go up and down completely randomly.
Pair Corralation between MBank SA and Allegroeu
Assuming the 90 days trading horizon mBank SA is expected to generate 0.74 times more return on investment than Allegroeu. However, mBank SA is 1.34 times less risky than Allegroeu. It trades about -0.05 of its potential returns per unit of risk. Allegroeu SA is currently generating about -0.26 per unit of risk. If you would invest 57,780 in mBank SA on August 25, 2024 and sell it today you would lose (1,740) from holding mBank SA or give up 3.01% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
mBank SA vs. Allegroeu SA
Performance |
| Timeline |
| mBank SA |
| Allegroeu SA |
MBank SA and Allegroeu Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with MBank SA and Allegroeu
The main advantage of trading using opposite MBank SA and Allegroeu positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if MBank SA position performs unexpectedly, Allegroeu 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 Allegroeu will offset losses from the drop in Allegroeu's long position.| MBank SA vs. UniCredit SpA | MBank SA vs. Santander Bank Polska | MBank SA vs. ING Bank lski | MBank SA vs. Bank Handlowy w |
| Allegroeu vs. Ice Code Games | Allegroeu vs. CI Games SA | Allegroeu vs. Echo Investment SA | Allegroeu vs. True Games Syndicate |
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 CEOs Directory module to screen CEOs from public companies around the world.
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