Correlation Between MBank SA and WSE WIG
Can any of the company-specific risk be diversified away by investing in both MBank SA and WSE WIG 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 WSE WIG into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between mBank SA and WSE WIG INDEX, you can compare the effects of market volatilities on MBank SA and WSE WIG 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 WSE WIG. Check out your portfolio center. Please also check ongoing floating volatility patterns of MBank SA and WSE WIG.
Diversification Opportunities for MBank SA and WSE WIG
Almost no diversification
The 3 months correlation between MBank and WSE is 0.98. Overlapping area represents the amount of risk that can be diversified away by holding mBank SA and WSE WIG INDEX in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on WSE WIG INDEX 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 WSE WIG. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of WSE WIG INDEX has no effect on the direction of MBank SA i.e., MBank SA and WSE WIG go up and down completely randomly.
Pair Corralation between MBank SA and WSE WIG
Assuming the 90 days trading horizon mBank SA is expected to under-perform the WSE WIG. In addition to that, MBank SA is 1.56 times more volatile than WSE WIG INDEX. It trades about -0.09 of its total potential returns per unit of risk. WSE WIG INDEX is currently generating about -0.12 per unit of volatility. If you would invest 9,704,524 in WSE WIG INDEX on January 13, 2025 and sell it today you would lose (592,520) from holding WSE WIG INDEX or give up 6.11% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
mBank SA vs. WSE WIG INDEX
Performance |
| Timeline |
MBank SA and WSE WIG Volatility Contrast
Predicted Return Density |
| Returns |
mBank SA
Pair trading matchups for MBank SA
WSE WIG INDEX
Pair trading matchups for WSE WIG
Pair Trading with MBank SA and WSE WIG
The main advantage of trading using opposite MBank SA and WSE WIG positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if MBank SA position performs unexpectedly, WSE WIG 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 WSE WIG will offset losses from the drop in WSE WIG's long position.| MBank SA vs. Ultimate Games SA | MBank SA vs. Vivid Games SA | MBank SA vs. Varsav Game Studios | MBank SA vs. Santander Bank Polska |
| WSE WIG vs. Gaming Factory SA | WSE WIG vs. Live Motion Games | WSE WIG vs. Varsav Game Studios | WSE WIG vs. Movie Games 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 Correlation Analysis module to reduce portfolio risk simply by holding instruments which are not perfectly correlated.
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