Correlation Between MCI Management and Bank Polska
Can any of the company-specific risk be diversified away by investing in both MCI Management and Bank Polska 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 MCI Management and Bank Polska into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between MCI Management SA and Bank Polska Kasa, you can compare the effects of market volatilities on MCI Management and Bank Polska 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 MCI Management with a short position of Bank Polska. Check out your portfolio center. Please also check ongoing floating volatility patterns of MCI Management and Bank Polska.
Diversification Opportunities for MCI Management and Bank Polska
0.04 | Correlation Coefficient |
Significant diversification
The 3 months correlation between MCI and Bank is 0.04. Overlapping area represents the amount of risk that can be diversified away by holding MCI Management SA and Bank Polska Kasa in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Bank Polska Kasa and MCI Management 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 MCI Management SA are associated (or correlated) with Bank Polska. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Bank Polska Kasa has no effect on the direction of MCI Management i.e., MCI Management and Bank Polska go up and down completely randomly.
Pair Corralation between MCI Management and Bank Polska
Assuming the 90 days trading horizon MCI Management is expected to generate 1.3 times less return on investment than Bank Polska. But when comparing it to its historical volatility, MCI Management SA is 1.02 times less risky than Bank Polska. It trades about 0.06 of its potential returns per unit of risk. Bank Polska Kasa is currently generating about 0.08 of returns per unit of risk over similar time horizon. If you would invest 7,426 in Bank Polska Kasa on September 12, 2024 and sell it today you would earn a total of 7,279 from holding Bank Polska Kasa or generate 98.02% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Insignificant |
| Accuracy | 100.0% |
| Values | Daily Returns |
MCI Management SA vs. Bank Polska Kasa
Performance |
| Timeline |
| MCI Management SA |
| Bank Polska Kasa |
MCI Management and Bank Polska Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with MCI Management and Bank Polska
The main advantage of trading using opposite MCI Management and Bank Polska positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if MCI Management position performs unexpectedly, Bank Polska 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 Polska will offset losses from the drop in Bank Polska's long position.| MCI Management vs. Immobile | MCI Management vs. Asseco Business Solutions | MCI Management vs. Detalion Games SA | MCI Management vs. Asseco South Eastern |
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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 Rebalancing module to analyze risk-adjusted returns against different time horizons to find asset-allocation targets.
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