Bank Millennium (Poland) Market Value
| MIL Stock | 8.29 0.11 1.31% |
| Symbol | Bank |
Bank Millennium 'What if' Analysis
In the world of financial modeling, what-if analysis is part of sensitivity analysis performed to test how changes in assumptions impact individual outputs in a model. When applied to Bank Millennium's stock what-if analysis refers to the analyzing how the change in your past investing horizon will affect the profitability against the current market value of Bank Millennium.
| 02/04/2023 |
| 11/25/2024 |
If you would invest 0.00 in Bank Millennium on February 4, 2023 and sell it all today you would earn a total of 0.00 from holding Bank Millennium SA or generate 0.0% return on investment in Bank Millennium over 660 days. Bank Millennium is related to or competes with UniCredit SpA, and Santander Bank. More
Bank Millennium Upside/Downside Indicators
Understanding different market momentum indicators often help investors to time their next move. Potential upside and downside technical ratios enable traders to measure Bank Millennium's stock current market value against overall market sentiment and can be a good tool during both bulling and bearish trends. Here we outline some of the essential indicators to assess Bank Millennium SA upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.09) | |||
| Maximum Drawdown | 9.67 | |||
| Value At Risk | (3.40) | |||
| Potential Upside | 2.92 |
Bank Millennium Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Bank Millennium's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Bank Millennium's standard deviation. In reality, there are many statistical measures that can use Bank Millennium historical prices to predict the future Bank Millennium's volatility.| Risk Adjusted Performance | (0.02) | |||
| Jensen Alpha | (0.09) | |||
| Total Risk Alpha | (0.40) | |||
| Treynor Ratio | (0.53) |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Bank Millennium's price to converge to an average value over time is called mean reversion. However, historically, high market prices usually discourage investors that believe in mean reversion to invest, while low prices are viewed as an opportunity to buy.
Bank Millennium SA Backtested Returns
Bank Millennium SA secures Sharpe Ratio (or Efficiency) of -0.0418, which signifies that the company had a -0.0418% return per unit of risk over the last 3 months. Bank Millennium SA exposes twenty-four different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please confirm Bank Millennium's Risk Adjusted Performance of (0.02), standard deviation of 2.08, and Mean Deviation of 1.6 to double-check the risk estimate we provide. The firm shows a Beta (market volatility) of 0.14, which signifies not very significant fluctuations relative to the market. As returns on the market increase, Bank Millennium's returns are expected to increase less than the market. However, during the bear market, the loss of holding Bank Millennium is expected to be smaller as well. At this point, Bank Millennium SA has a negative expected return of -0.0887%. Please make sure to confirm Bank Millennium's potential upside, as well as the relationship between the daily balance of power and market facilitation index , to decide if Bank Millennium SA performance from the past will be repeated at some point in the near future.
Auto-correlation | -0.37 |
Poor reverse predictability
Bank Millennium SA has poor reverse predictability. Overlapping area represents the amount of predictability between Bank Millennium time series from 4th of February 2023 to 31st of December 2023 and 31st of December 2023 to 25th of November 2024. The more autocorrelation exist between current time interval and its lagged values, the more accurately you can make projection about the future pattern of Bank Millennium SA price movement. The serial correlation of -0.37 indicates that just about 37.0% of current Bank Millennium price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.37 | |
| Spearman Rank Test | -0.22 | |
| Residual Average | 0.0 | |
| Price Variance | 0.5 |
Bank Millennium SA lagged returns against current returns
Autocorrelation, which is Bank Millennium stock's lagged correlation, explains the relationship between observations of its time series of returns over different periods of time. The observations are said to be independent if autocorrelation is zero. Autocorrelation is calculated as a function of mean and variance and can have practical application in predicting Bank Millennium's stock expected returns. We can calculate the autocorrelation of Bank Millennium returns to help us make a trade decision. For example, suppose you find that Bank Millennium has exhibited high autocorrelation historically, and you observe that the stock is moving up for the past few days. In that case, you can expect the price movement to match the lagging time series.
Current and Lagged Values |
| Timeline |
Bank Millennium regressed lagged prices vs. current prices
Serial correlation can be approximated by using the Durbin-Watson (DW) test. The correlation can be either positive or negative. If Bank Millennium stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Bank Millennium stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Bank Millennium stock over time.
Current vs Lagged Prices |
| Timeline |
Bank Millennium Lagged Returns
When evaluating Bank Millennium's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Bank Millennium stock have on its future price. Bank Millennium autocorrelation represents the degree of similarity between a given time horizon and a lagged version of the same horizon over the previous time interval. In other words, Bank Millennium autocorrelation shows the relationship between Bank Millennium stock current value and its past values and can show if there is a momentum factor associated with investing in Bank Millennium SA.
Regressed Prices |
| Timeline |
Pair Trading with Bank Millennium
One of the main advantages of trading using pair correlations is that every trade hedges away some risk. Because there are two separate transactions required, even if Bank Millennium position performs unexpectedly, the other equity 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 Millennium will appreciate offsetting losses from the drop in the long position's value.Moving together with Bank Stock
Moving against Bank Stock
| 0.64 | LPP | LPP SA | PairCorr |
| 0.58 | KGH | KGHM Polska Miedz | PairCorr |
| 0.55 | UCG | UniCredit SpA | PairCorr |
| 0.54 | JSW | Jastrzebska Spotka Earnings Call Tomorrow | PairCorr |
| 0.48 | SAN | Banco Santander SA | PairCorr |
The ability to find closely correlated positions to Bank Millennium could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Bank Millennium when you sell it. If you don't do this, your portfolio allocation will be skewed against your target asset allocation. So, investors can't just sell and buy back Bank Millennium - that would be a violation of the tax code under the "wash sale" rule, and this is why you need to find a similar enough asset and use the proceeds from selling Bank Millennium SA to buy it.
The correlation of Bank Millennium is a statistical measure of how it moves in relation to other instruments. This measure is expressed in what is known as the correlation coefficient, which ranges between -1 and +1. A perfect positive correlation (i.e., a correlation coefficient of +1) implies that as Bank Millennium moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Bank Millennium SA moves in either direction, the perfectly negatively correlated security will move in the opposite direction. If the correlation is 0, the equities are not correlated; they are entirely random. A correlation greater than 0.8 is generally described as strong, whereas a correlation less than 0.5 is generally considered weak.
Correlation analysis and pair trading evaluation for Bank Millennium can also be used as hedging techniques within a particular sector or industry or even over random equities to generate a better risk-adjusted return on your portfolios.Additional Tools for Bank Stock Analysis
When running Bank Millennium's price analysis, check to measure Bank Millennium's market volatility, profitability, liquidity, solvency, efficiency, growth potential, financial leverage, and other vital indicators. We have many different tools that can be utilized to determine how healthy Bank Millennium is operating at the current time. Most of Bank Millennium's value examination focuses on studying past and present price action to predict the probability of Bank Millennium's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Bank Millennium's price. Additionally, you may evaluate how the addition of Bank Millennium to your portfolios can decrease your overall portfolio volatility.