Correlation Between Bank Millennium and Varsav Game

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

Diversification Opportunities for Bank Millennium and Varsav Game

-0.35

Correlation Coefficient

Bank Millennium  Varsav Game

Very good diversification

The 3 months correlation between Bank and Varsav is -0.35. Overlapping area represents the amount of risk that can be diversified away by holding Bank Millennium SA and Varsav Game Studios in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Varsav Game Studios 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 Varsav Game. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Varsav Game Studios has no effect on the direction of Bank Millennium i.e., Bank Millennium and Varsav Game go up and down completely randomly.

Pair Corralation between Bank Millennium and Varsav Game

Assuming the 90 days trading horizon Bank Millennium SA is expected to generate 0.49 times more return on investment than Varsav Game. However, Bank Millennium SA is 2.03 times less risky than Varsav Game. It trades about 0.03 of its potential returns per unit of risk. Varsav Game Studios is currently generating about -0.02 per unit of risk. If you would invest  807.00  in Bank Millennium SA on October 3, 2024 and sell it today you would earn a total of  83.00  from holding Bank Millennium SA or generate 10.29% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Against
Strength	Insignificant
Accuracy	94.32%
Values	Daily Returns

Bank Millennium SA  vs.  Varsav Game Studios

Bank Millennium SA

Risk-Adjusted Performance

6 of 100

Modest

Compared to the overall equity markets, risk-adjusted returns on investments in Bank Millennium SA are ranked lower than 6 (%) of all global equities and portfolios over the last 90 days. Even with relatively weak basic indicators, Bank Millennium may actually be approaching a critical reversion point that can send shares even higher in February 2025.

Varsav Game Studios

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Varsav Game Studios has generated negative risk-adjusted returns adding no value to investors with long positions. Even with weak performance in the last few months, the Stock's basic indicators remain relatively invariable which may send shares a bit higher in February 2025. The latest agitation may also be a sign of long-running up-swing for the enterprise retail investors.

Pair Trading with Bank Millennium and Varsav Game

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

The idea behind Bank Millennium SA and Varsav Game Studios 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.

Check out your portfolio center.

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 Volatility module to check portfolio volatility and analyze historical return density to properly model market risk.