Correlation Between Bank Millennium and MBank SA
Can any of the company-specific risk be diversified away by investing in both Bank Millennium and MBank SA 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 Bank Millennium and MBank SA into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Bank Millennium SA and mBank SA, you can compare the effects of market volatilities on Bank Millennium and MBank SA 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 Bank Millennium with a short position of MBank SA. Check out your portfolio center. Please also check ongoing floating volatility patterns of Bank Millennium and MBank SA.
Diversification Opportunities for Bank Millennium and MBank SA
0.93 | Correlation Coefficient |
Almost no diversification
The 3 months correlation between Bank and MBank is 0.93. Overlapping area represents the amount of risk that can be diversified away by holding Bank Millennium SA and mBank SA in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on mBank SA and Bank Millennium 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 Bank Millennium SA are associated (or correlated) with MBank SA. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of mBank SA has no effect on the direction of Bank Millennium i.e., Bank Millennium and MBank SA go up and down completely randomly.
Pair Corralation between Bank Millennium and MBank SA
Assuming the 90 days trading horizon Bank Millennium SA is expected to generate 1.17 times more return on investment than MBank SA. However, Bank Millennium is 1.17 times more volatile than mBank SA. It trades about 0.07 of its potential returns per unit of risk. mBank SA is currently generating about -0.05 per unit of risk. If you would invest 1,332 in Bank Millennium SA on January 15, 2025 and sell it today you would earn a total of 60.00 from holding Bank Millennium SA or generate 4.5% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
Bank Millennium SA vs. mBank SA
Performance |
| Timeline |
| Bank Millennium SA |
| mBank SA |
Bank Millennium and MBank SA Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Bank Millennium and MBank SA
The main advantage of trading using opposite Bank Millennium and MBank SA positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Bank Millennium position performs unexpectedly, MBank SA 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 MBank SA will offset losses from the drop in MBank SA's long position.| Bank Millennium vs. Baked Games SA | Bank Millennium vs. Cloud Technologies SA | Bank Millennium vs. CI Games SA | Bank Millennium vs. SOFTWARE MANSION SPOLKA |
| MBank SA vs. MCI Management SA | MBank SA vs. PZ Cormay SA | MBank SA vs. Live Motion Games | MBank SA vs. Monnari Trade 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 Suggestion module to get suggestions outside of your existing asset allocation including your own model portfolios.
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