Correlation Between MBank SA and Esotiq Henderson
Can any of the company-specific risk be diversified away by investing in both MBank SA and Esotiq Henderson 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 Esotiq Henderson into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between mBank SA and Esotiq Henderson SA, you can compare the effects of market volatilities on MBank SA and Esotiq Henderson 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 Esotiq Henderson. Check out your portfolio center. Please also check ongoing floating volatility patterns of MBank SA and Esotiq Henderson.
Diversification Opportunities for MBank SA and Esotiq Henderson
-0.49 | Correlation Coefficient |
Very good diversification
The 3 months correlation between MBank and Esotiq is -0.49. Overlapping area represents the amount of risk that can be diversified away by holding mBank SA and Esotiq Henderson SA in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Esotiq Henderson 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 Esotiq Henderson. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Esotiq Henderson has no effect on the direction of MBank SA i.e., MBank SA and Esotiq Henderson go up and down completely randomly.
Pair Corralation between MBank SA and Esotiq Henderson
Assuming the 90 days trading horizon MBank SA is expected to generate 1.06 times less return on investment than Esotiq Henderson. But when comparing it to its historical volatility, mBank SA is 1.16 times less risky than Esotiq Henderson. It trades about 0.05 of its potential returns per unit of risk. Esotiq Henderson SA is currently generating about 0.05 of returns per unit of risk over similar time horizon. If you would invest 2,884 in Esotiq Henderson SA on September 2, 2024 and sell it today you would earn a total of 1,136 from holding Esotiq Henderson SA or generate 39.39% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Very Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
mBank SA vs. Esotiq Henderson SA
Performance |
| Timeline |
| mBank SA |
| Esotiq Henderson |
MBank SA and Esotiq Henderson Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with MBank SA and Esotiq Henderson
The main advantage of trading using opposite MBank SA and Esotiq Henderson positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if MBank SA position performs unexpectedly, Esotiq Henderson 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 Esotiq Henderson will offset losses from the drop in Esotiq Henderson's long position.The idea behind mBank SA and Esotiq Henderson 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.| Esotiq Henderson vs. BNP Paribas Bank | Esotiq Henderson vs. PLAYWAY SA | Esotiq Henderson vs. Alior Bank SA | Esotiq Henderson vs. UniCredit SpA |
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 Performance Analysis module to check effects of mean-variance optimization against your current asset allocation.
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