Correlation Between Bank Millennium and MCI Management

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

Diversification Opportunities for Bank Millennium and MCI Management

-0.03

Correlation Coefficient

Bank Millennium  MCI Management

Good diversification

The 3 months correlation between Bank and MCI is -0.03. Overlapping area represents the amount of risk that can be diversified away by holding Bank Millennium SA and MCI Management SA in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on MCI Management 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 MCI Management. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of MCI Management SA has no effect on the direction of Bank Millennium i.e., Bank Millennium and MCI Management go up and down completely randomly.

Pair Corralation between Bank Millennium and MCI Management

Assuming the 90 days trading horizon Bank Millennium SA is expected to under-perform the MCI Management. In addition to that, Bank Millennium is 1.61 times more volatile than MCI Management SA. It trades about -0.02 of its total potential returns per unit of risk. MCI Management SA is currently generating about 0.2 per unit of volatility. If you would invest  2,440  in MCI Management SA on April 24, 2025 and sell it today you would earn a total of  470.00  from holding MCI Management SA or generate 19.26% return on investment over 90 days.

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

Bank Millennium SA  vs.  MCI Management SA

Bank Millennium SA

Risk-Adjusted Performance

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 current stock price agitation, may contribute to short-term losses for the retail investors.

MCI Management SA

Risk-Adjusted Performance

Good

Compared to the overall equity markets, risk-adjusted returns on investments in MCI Management SA are ranked lower than 15 (%) of all global equities and portfolios over the last 90 days. Even with relatively weak basic indicators, MCI Management reported solid returns over the last few months and may actually be approaching a breakup point.

Pair Trading with Bank Millennium and MCI Management

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

The idea behind Bank Millennium SA and MCI Management 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 Portfolio Rebalancing module to analyze risk-adjusted returns against different time horizons to find asset-allocation targets.