Correlation Between Bank Millennium and Beta MWIG40TR

Can any of the company-specific risk be diversified away by investing in both Bank Millennium and Beta MWIG40TR 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 Beta MWIG40TR 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 Beta mWIG40TR Portfelowy, you can compare the effects of market volatilities on Bank Millennium and Beta MWIG40TR 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 Beta MWIG40TR. Check out your portfolio center. Please also check ongoing floating volatility patterns of Bank Millennium and Beta MWIG40TR.

Diversification Opportunities for Bank Millennium and Beta MWIG40TR

0.36

Correlation Coefficient

Bank Millennium  Beta MWIG40TR

Weak diversification

The 3 months correlation between Bank and Beta is 0.36. Overlapping area represents the amount of risk that can be diversified away by holding Bank Millennium SA and Beta mWIG40TR Portfelowy in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Beta mWIG40TR Portfelowy 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 Beta MWIG40TR. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Beta mWIG40TR Portfelowy has no effect on the direction of Bank Millennium i.e., Bank Millennium and Beta MWIG40TR go up and down completely randomly.

Pair Corralation between Bank Millennium and Beta MWIG40TR

Assuming the 90 days trading horizon Bank Millennium SA is expected to generate 2.21 times more return on investment than Beta MWIG40TR. However, Bank Millennium is 2.21 times more volatile than Beta mWIG40TR Portfelowy. It trades about 0.02 of its potential returns per unit of risk. Beta mWIG40TR Portfelowy is currently generating about 0.04 per unit of risk. If you would invest  846.00  in Bank Millennium SA on September 14, 2024 and sell it today you would earn a total of  31.00  from holding Bank Millennium SA or generate 3.66% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Together
Strength	Very Weak
Accuracy	99.2%
Values	Daily Returns

Bank Millennium SA  vs.  Beta mWIG40TR Portfelowy

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.

Beta mWIG40TR Portfelowy

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Beta mWIG40TR Portfelowy has generated negative risk-adjusted returns adding no value to investors with long positions. Despite somewhat strong basic indicators, Beta MWIG40TR is not utilizing all of its potentials. The current stock price disturbance, may contribute to short-term losses for the investors.

Pair Trading with Bank Millennium and Beta MWIG40TR

The main advantage of trading using opposite Bank Millennium and Beta MWIG40TR positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Bank Millennium position performs unexpectedly, Beta MWIG40TR 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 Beta MWIG40TR will offset losses from the drop in Beta MWIG40TR's long position.

The idea behind Bank Millennium SA and Beta mWIG40TR Portfelowy 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.

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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.