Correlation Between MBank SA and Immobile
Can any of the company-specific risk be diversified away by investing in both MBank SA and Immobile 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 Immobile into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between mBank SA and Immobile, you can compare the effects of market volatilities on MBank SA and Immobile 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 Immobile. Check out your portfolio center. Please also check ongoing floating volatility patterns of MBank SA and Immobile.
Diversification Opportunities for MBank SA and Immobile
Average diversification
The 3 months correlation between MBank and Immobile is 0.1. Overlapping area represents the amount of risk that can be diversified away by holding mBank SA and Immobile in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Immobile 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 Immobile. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Immobile has no effect on the direction of MBank SA i.e., MBank SA and Immobile go up and down completely randomly.
Pair Corralation between MBank SA and Immobile
Assuming the 90 days trading horizon mBank SA is expected to under-perform the Immobile. But the stock apears to be less risky and, when comparing its historical volatility, mBank SA is 1.24 times less risky than Immobile. The stock trades about -0.2 of its potential returns per unit of risk. The Immobile is currently generating about 0.08 of returns per unit of risk over similar time horizon. If you would invest 191.00 in Immobile on September 2, 2024 and sell it today you would earn a total of 6.00 from holding Immobile or generate 3.14% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Insignificant |
| Accuracy | 100.0% |
| Values | Daily Returns |
mBank SA vs. Immobile
Performance |
| Timeline |
| mBank SA |
| Immobile |
MBank SA and Immobile Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with MBank SA and Immobile
The main advantage of trading using opposite MBank SA and Immobile positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if MBank SA position performs unexpectedly, Immobile 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 Immobile will offset losses from the drop in Immobile's long position.| MBank SA vs. Movie Games SA | MBank SA vs. 3R Games SA | MBank SA vs. Gamedust SA | MBank SA vs. Intersport Polska SA |
| Immobile vs. Carlson Investments SA | Immobile vs. Alior Bank SA | Immobile vs. Play2Chill SA | Immobile vs. Skyline Investment 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 Volatility module to check portfolio volatility and analyze historical return density to properly model market risk.
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