Correlation Between MCI Management and Asseco Poland

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

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

Diversification Opportunities for MCI Management and Asseco Poland

-0.44

Correlation Coefficient

MCI Management  Asseco Poland

Very good diversification

The 3 months correlation between MCI and Asseco is -0.44. Overlapping area represents the amount of risk that can be diversified away by holding MCI Management SA and Asseco Poland SA in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Asseco Poland SA and MCI Management 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 MCI Management SA are associated (or correlated) with Asseco Poland. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Asseco Poland SA has no effect on the direction of MCI Management i.e., MCI Management and Asseco Poland go up and down completely randomly.

Pair Corralation between MCI Management and Asseco Poland

Assuming the 90 days trading horizon MCI Management is expected to generate 14.04 times less return on investment than Asseco Poland. But when comparing it to its historical volatility, MCI Management SA is 1.17 times less risky than Asseco Poland. It trades about 0.03 of its potential returns per unit of risk. Asseco Poland SA is currently generating about 0.42 of returns per unit of risk over similar time horizon. If you would invest  9,620  in Asseco Poland SA on December 30, 2024 and sell it today you would earn a total of  6,180  from holding Asseco Poland SA or generate 64.24% return on investment over 90 days.

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

MCI Management SA  vs.  Asseco Poland SA

MCI Management SA

Risk-Adjusted Performance

Weak

Compared to the overall equity markets, risk-adjusted returns on investments in MCI Management SA are ranked lower than 2 (%) of all global equities and portfolios over the last 90 days. Even with relatively invariable basic indicators, MCI Management is not utilizing all of its potentials. The latest stock price agitation, may contribute to short-term losses for the retail investors.

Asseco Poland SA

Risk-Adjusted Performance

Very Strong

Compared to the overall equity markets, risk-adjusted returns on investments in Asseco Poland SA are ranked lower than 32 (%) of all global equities and portfolios over the last 90 days. Even with relatively weak basic indicators, Asseco Poland reported solid returns over the last few months and may actually be approaching a breakup point.

Pair Trading with MCI Management and Asseco Poland

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

The idea behind MCI Management SA and Asseco Poland 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 Idea Optimizer module to use advanced portfolio builder with pre-computed micro ideas to build optimal portfolio .