Correlation Between Bank Millennium and MBank SA

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

Diversification Opportunities for Bank Millennium and MBank SA

0.27

Correlation Coefficient

Bank Millennium  MBank SA

Modest diversification

The 3 months correlation between Bank and MBank is 0.27. Overlapping area represents the amount of risk that can be diversified away by holding Bank Millennium SA and mBank SA in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on mBank 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 MBank SA. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of mBank SA has no effect on the direction of Bank Millennium i.e., Bank Millennium and MBank SA go up and down completely randomly.

Pair Corralation between Bank Millennium and MBank SA

Assuming the 90 days trading horizon Bank Millennium SA is expected to under-perform the MBank SA. In addition to that, Bank Millennium is 1.18 times more volatile than mBank SA. It trades about -0.04 of its total potential returns per unit of risk. mBank SA is currently generating about 0.03 per unit of volatility. If you would invest  55,840  in mBank SA on September 16, 2024 and sell it today you would earn a total of  560.00  from holding mBank SA or generate 1.0% return on investment over 90 days.

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

Bank Millennium SA  vs.  mBank SA

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.

mBank SA

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days mBank SA has generated negative risk-adjusted returns adding no value to investors with long positions. Even with latest weak performance, the Stock's basic indicators remain invariable and the latest agitation on Wall Street may also be a sign of long-running gains for the enterprise retail investors.

Pair Trading with Bank Millennium and MBank SA

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

The idea behind Bank Millennium SA and mBank 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.

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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 Piotroski F Score module to get Piotroski F Score based on the binary analysis strategy of nine different fundamentals.