Correlation Between Bank Millennium and M Food

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

Diversification Opportunities for Bank Millennium and M Food

0.59

Correlation Coefficient

Bank Millennium  M Food

Very weak diversification

The 3 months correlation between Bank and MFD is 0.59. Overlapping area represents the amount of risk that can be diversified away by holding Bank Millennium SA and M Food SA in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on M Food 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 M Food. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of M Food SA has no effect on the direction of Bank Millennium i.e., Bank Millennium and M Food go up and down completely randomly.

Pair Corralation between Bank Millennium and M Food

Assuming the 90 days trading horizon Bank Millennium is expected to generate 1.21 times less return on investment than M Food. But when comparing it to its historical volatility, Bank Millennium SA is 2.93 times less risky than M Food. It trades about 0.36 of its potential returns per unit of risk. M Food SA is currently generating about 0.15 of returns per unit of risk over similar time horizon. If you would invest  79.00  in M Food SA on December 29, 2024 and sell it today you would earn a total of  41.00  from holding M Food SA or generate 51.9% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Together
Strength	Weak
Accuracy	85.48%
Values	Daily Returns

Bank Millennium SA  vs.  M Food SA

Bank Millennium SA

Risk-Adjusted Performance

Strong

Compared to the overall equity markets, risk-adjusted returns on investments in Bank Millennium SA are ranked lower than 28 (%) of all global equities and portfolios over the last 90 days. Even with relatively weak basic indicators, Bank Millennium reported solid returns over the last few months and may actually be approaching a breakup point.

M Food SA

Risk-Adjusted Performance

Good

Over the last 90 days M Food SA has generated negative risk-adjusted returns adding no value to investors with long positions. Even with relatively weak basic indicators, M Food reported solid returns over the last few months and may actually be approaching a breakup point.

Pair Trading with Bank Millennium and M Food

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

The idea behind Bank Millennium SA and M Food 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 My Watchlist Analysis module to analyze my current watchlist and to refresh optimization strategy. Macroaxis watchlist is based on self-learning algorithm to remember stocks you like.