Correlation Between MBank SA and Bank Millennium
Can any of the company-specific risk be diversified away by investing in both MBank 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 MBank 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 mBank SA and Bank Millennium SA, you can compare the effects of market volatilities on MBank 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 MBank SA with a short position of Bank Millennium. Check out your portfolio center. Please also check ongoing floating volatility patterns of MBank SA and Bank Millennium.
Diversification Opportunities for MBank SA and Bank Millennium
0.56 | Correlation Coefficient |
Very weak diversification
The 3 months correlation between MBank and Bank is 0.56. Overlapping area represents the amount of risk that can be diversified away by holding mBank 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 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 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 MBank SA i.e., MBank SA and Bank Millennium go up and down completely randomly.
Pair Corralation between MBank SA and Bank Millennium
Assuming the 90 days trading horizon mBank SA is expected to under-perform the Bank Millennium. But the stock apears to be less risky and, when comparing its historical volatility, mBank SA is 1.1 times less risky than Bank Millennium. The stock trades about -0.16 of its potential returns per unit of risk. The Bank Millennium SA is currently generating about 0.09 of returns per unit of risk over similar time horizon. If you would invest 809.00 in Bank Millennium SA on August 24, 2024 and sell it today you would earn a total of 31.00 from holding Bank Millennium SA or generate 3.83% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
mBank SA vs. Bank Millennium SA
Performance |
| Timeline |
| mBank SA |
| Bank Millennium SA |
MBank SA and Bank Millennium Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with MBank SA and Bank Millennium
The main advantage of trading using opposite MBank SA and Bank Millennium positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if MBank 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.| MBank SA vs. Noble Financials SA | MBank SA vs. Movie Games SA | MBank SA vs. GreenX Metals | MBank SA vs. SOFTWARE MANSION SPOLKA |
| Bank Millennium vs. UniCredit SpA | Bank Millennium vs. Santander Bank Polska | Bank Millennium vs. Bank Polska Kasa | Bank Millennium vs. mBank 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 USA ETFs module to find actively traded Exchange Traded Funds (ETF) in USA.
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