Correlation Between Bank Millennium and Pepco Group
Can any of the company-specific risk be diversified away by investing in both Bank Millennium and Pepco Group 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 Pepco Group 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 Pepco Group BV, you can compare the effects of market volatilities on Bank Millennium and Pepco Group 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 Pepco Group. Check out your portfolio center. Please also check ongoing floating volatility patterns of Bank Millennium and Pepco Group.
Diversification Opportunities for Bank Millennium and Pepco Group
-0.22 | Correlation Coefficient |
Very good diversification
The 3 months correlation between Bank and Pepco is -0.22. Overlapping area represents the amount of risk that can be diversified away by holding Bank Millennium SA and Pepco Group BV in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Pepco Group BV 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 Pepco Group. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Pepco Group BV has no effect on the direction of Bank Millennium i.e., Bank Millennium and Pepco Group go up and down completely randomly.
Pair Corralation between Bank Millennium and Pepco Group
Assuming the 90 days trading horizon Bank Millennium SA is expected to generate 1.19 times more return on investment than Pepco Group. However, Bank Millennium is 1.19 times more volatile than Pepco Group BV. It trades about 0.1 of its potential returns per unit of risk. Pepco Group BV is currently generating about -0.19 per unit of risk. If you would invest 793.00 in Bank Millennium SA on August 25, 2024 and sell it today you would earn a total of 36.00 from holding Bank Millennium SA or generate 4.54% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Insignificant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Bank Millennium SA vs. Pepco Group BV
Performance |
| Timeline |
| Bank Millennium SA |
| Pepco Group BV |
Bank Millennium and Pepco Group Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Bank Millennium and Pepco Group
The main advantage of trading using opposite Bank Millennium and Pepco Group positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Bank Millennium position performs unexpectedly, Pepco Group 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 Pepco Group will offset losses from the drop in Pepco Group's long position.| Bank Millennium vs. UniCredit SpA | Bank Millennium vs. Santander Bank Polska | Bank Millennium vs. ING Bank lski | Bank Millennium vs. Bank Handlowy w |
| Pepco Group vs. Asseco Business Solutions | Pepco Group vs. Detalion Games SA | Pepco Group vs. Asseco South Eastern | Pepco Group 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 Performance Analysis module to check effects of mean-variance optimization against your current asset allocation.
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