Correlation Between Asseco Business and Bank Millennium

Can any of the company-specific risk be diversified away by investing in both Asseco Business and Bank Millennium 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 Asseco Business and Bank Millennium into the same portfolio, which is an essential part of the fundamental portfolio management process.

By analyzing existing cross correlation between Asseco Business Solutions and Bank Millennium SA, you can compare the effects of market volatilities on Asseco Business and Bank Millennium 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 Asseco Business with a short position of Bank Millennium. Check out your portfolio center. Please also check ongoing floating volatility patterns of Asseco Business and Bank Millennium.

Diversification Opportunities for Asseco Business and Bank Millennium

0.47

Correlation Coefficient

Asseco Business  Bank Millennium

Very weak diversification

The 3 months correlation between Asseco and Bank is 0.47. Overlapping area represents the amount of risk that can be diversified away by holding Asseco Business Solutions and Bank Millennium SA in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Bank Millennium SA and Asseco Business 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 Asseco Business Solutions are associated (or correlated) with Bank Millennium. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Bank Millennium SA has no effect on the direction of Asseco Business i.e., Asseco Business and Bank Millennium go up and down completely randomly.

Pair Corralation between Asseco Business and Bank Millennium

Assuming the 90 days trading horizon Asseco Business Solutions is expected to generate 0.93 times more return on investment than Bank Millennium. However, Asseco Business Solutions is 1.08 times less risky than Bank Millennium. It trades about 0.02 of its potential returns per unit of risk. Bank Millennium SA is currently generating about -0.01 per unit of risk. If you would invest  5,780  in Asseco Business Solutions on September 14, 2024 and sell it today you would earn a total of  60.00  from holding Asseco Business Solutions or generate 1.04% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Together
Strength	Weak
Accuracy	100.0%
Values	Daily Returns

Asseco Business Solutions  vs.  Bank Millennium SA

Asseco Business Solutions

Risk-Adjusted Performance

1 of 100

Weak

Compared to the overall equity markets, risk-adjusted returns on investments in Asseco Business Solutions are ranked lower than 1 (%) of all global equities and portfolios over the last 90 days. Even with relatively invariable basic indicators, Asseco Business is not utilizing all of its potentials. The latest stock price agitation, may contribute to short-term losses for the retail investors.

Bank Millennium SA

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Bank Millennium SA has generated negative risk-adjusted returns adding no value to investors with long positions. Even with relatively invariable basic indicators, Bank Millennium is not utilizing all of its potentials. The latest stock price agitation, may contribute to short-term losses for the retail investors.

Pair Trading with Asseco Business and Bank Millennium

The main advantage of trading using opposite Asseco Business and Bank Millennium positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Asseco Business position performs unexpectedly, Bank Millennium 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 offset losses from the drop in Bank Millennium's long position.

The idea behind Asseco Business Solutions and Bank Millennium SA pairs trading is to make the combined position market-neutral, meaning the overall market's direction will not affect its win or loss (or potential downside or upside). This can be achieved by designing a pairs trade with two highly correlated stocks or equities that operate in a similar space or sector, making it possible to obtain profits through simple and relatively low-risk investment.

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 Volatility Analysis module to get historical volatility and risk analysis based on latest market data.