Correlation Between Bank Millennium and VRG SA
Can any of the company-specific risk be diversified away by investing in both Bank Millennium and VRG 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 VRG 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 VRG SA, you can compare the effects of market volatilities on Bank Millennium and VRG 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 VRG SA. Check out your portfolio center. Please also check ongoing floating volatility patterns of Bank Millennium and VRG SA.
Diversification Opportunities for Bank Millennium and VRG SA
0.71 | Correlation Coefficient |
Poor diversification
The 3 months correlation between Bank and VRG is 0.71. Overlapping area represents the amount of risk that can be diversified away by holding Bank Millennium SA and VRG SA in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on VRG 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 VRG SA. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of VRG SA has no effect on the direction of Bank Millennium i.e., Bank Millennium and VRG SA go up and down completely randomly.
Pair Corralation between Bank Millennium and VRG SA
Assuming the 90 days trading horizon Bank Millennium SA is expected to generate 1.18 times more return on investment than VRG SA. However, Bank Millennium is 1.18 times more volatile than VRG SA. It trades about 0.29 of its potential returns per unit of risk. VRG SA is currently generating about 0.3 per unit of risk. If you would invest 1,021 in Bank Millennium SA on December 4, 2024 and sell it today you would earn a total of 163.00 from holding Bank Millennium SA or generate 15.96% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 95.45% |
| Values | Daily Returns |
Bank Millennium SA vs. VRG SA
Performance |
| Timeline |
| Bank Millennium SA |
| VRG SA |
Bank Millennium and VRG SA Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Bank Millennium and VRG SA
The main advantage of trading using opposite Bank Millennium and VRG SA positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Bank Millennium position performs unexpectedly, VRG 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 VRG SA will offset losses from the drop in VRG SA's long position.| Bank Millennium vs. Movie Games SA | Bank Millennium vs. PZ Cormay SA | Bank Millennium vs. Inter Cars SA | Bank Millennium vs. Creativeforge 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 Sign In To Macroaxis module to sign in to explore Macroaxis' wealth optimization platform and fintech modules.
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