Correlation Between ABN Amro and ASR Nederland
Can any of the company-specific risk be diversified away by investing in both ABN Amro and ASR Nederland 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 ASR Nederland into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between ABN Amro Group and ASR Nederland NV, you can compare the effects of market volatilities on ABN Amro and ASR Nederland 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 ASR Nederland. Check out your portfolio center. Please also check ongoing floating volatility patterns of ABN Amro and ASR Nederland.
Diversification Opportunities for ABN Amro and ASR Nederland
-0.47 | Correlation Coefficient |
Very good diversification
The 3 months correlation between ABN and ASR is -0.47. Overlapping area represents the amount of risk that can be diversified away by holding ABN Amro Group and ASR Nederland NV in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on ASR Nederland NV 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 Group are associated (or correlated) with ASR Nederland. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of ASR Nederland NV has no effect on the direction of ABN Amro i.e., ABN Amro and ASR Nederland go up and down completely randomly.
Pair Corralation between ABN Amro and ASR Nederland
Assuming the 90 days trading horizon ABN Amro Group is expected to generate 1.09 times more return on investment than ASR Nederland. However, ABN Amro is 1.09 times more volatile than ASR Nederland NV. It trades about 0.03 of its potential returns per unit of risk. ASR Nederland NV is currently generating about 0.03 per unit of risk. If you would invest 1,216 in ABN Amro Group on August 31, 2024 and sell it today you would earn a total of 256.00 from holding ABN Amro Group or generate 21.05% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Very Weak |
| Accuracy | 99.79% |
| Values | Daily Returns |
ABN Amro Group vs. ASR Nederland NV
Performance |
| Timeline |
| ABN Amro Group |
| ASR Nederland NV |
ABN Amro and ASR Nederland Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with ABN Amro and ASR Nederland
The main advantage of trading using opposite ABN Amro and ASR Nederland positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if ABN Amro position performs unexpectedly, ASR Nederland 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 ASR Nederland will offset losses from the drop in ASR Nederland's long position.| ABN Amro vs. ING Groep NV | ABN Amro vs. Aegon NV | ABN Amro vs. NN Group NV | ABN Amro vs. Koninklijke Ahold Delhaize |
| ASR Nederland vs. NN Group NV | ASR Nederland vs. Koninklijke Ahold Delhaize | ASR Nederland vs. BE Semiconductor Industries | ASR Nederland vs. Aegon NV |
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 Equity Search module to search for actively traded equities including funds and ETFs from over 30 global markets.
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