Correlation Between ABN AMRO and National Australia
Can any of the company-specific risk be diversified away by investing in both ABN AMRO and National Australia 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 ABN AMRO and National Australia into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between ABN AMRO Bank and National Australia Bank, you can compare the effects of market volatilities on ABN AMRO and National Australia 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 ABN AMRO with a short position of National Australia. Check out your portfolio center. Please also check ongoing floating volatility patterns of ABN AMRO and National Australia.
Diversification Opportunities for ABN AMRO and National Australia
0.53 | Correlation Coefficient |
Very weak diversification
The 3 months correlation between ABN and National is 0.53. Overlapping area represents the amount of risk that can be diversified away by holding ABN AMRO Bank and National Australia Bank in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on National Australia Bank and ABN AMRO 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 ABN AMRO Bank are associated (or correlated) with National Australia. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of National Australia Bank has no effect on the direction of ABN AMRO i.e., ABN AMRO and National Australia go up and down completely randomly.
Pair Corralation between ABN AMRO and National Australia
Assuming the 90 days horizon ABN AMRO Bank is expected to generate 0.56 times more return on investment than National Australia. However, ABN AMRO Bank is 1.8 times less risky than National Australia. It trades about -0.06 of its potential returns per unit of risk. National Australia Bank is currently generating about -0.28 per unit of risk. If you would invest 1,600 in ABN AMRO Bank on September 13, 2024 and sell it today you would lose (28.00) from holding ABN AMRO Bank or give up 1.75% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Weak |
| Accuracy | 90.48% |
| Values | Daily Returns |
ABN AMRO Bank vs. National Australia Bank
Performance |
| Timeline |
| ABN AMRO Bank |
| National Australia Bank |
ABN AMRO and National Australia Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with ABN AMRO and National Australia
The main advantage of trading using opposite ABN AMRO and National Australia positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if ABN AMRO position performs unexpectedly, National Australia 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 National Australia will offset losses from the drop in National Australia's long position.| ABN AMRO vs. Barclays PLC | ABN AMRO vs. Bank of America | ABN AMRO vs. Bank of America | ABN AMRO vs. Banco Bilbao Vizcaya |
| National Australia vs. National Australia Bank | National Australia vs. China Construction Bank | National Australia vs. Bank of America | National Australia vs. ANZ Group Holdings |
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 Money Flow Index module to determine momentum by analyzing Money Flow Index and other technical indicators.
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