Correlation Between ABN Amro and Van Lanschot
Can any of the company-specific risk be diversified away by investing in both ABN Amro and Van Lanschot 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 Van Lanschot 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 Van Lanschot NV, you can compare the effects of market volatilities on ABN Amro and Van Lanschot 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 Van Lanschot. Check out your portfolio center. Please also check ongoing floating volatility patterns of ABN Amro and Van Lanschot.
Diversification Opportunities for ABN Amro and Van Lanschot
0.8 | Correlation Coefficient |
Very poor diversification
The 3 months correlation between ABN and Van is 0.8. Overlapping area represents the amount of risk that can be diversified away by holding ABN Amro Group and Van Lanschot NV in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Van Lanschot 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 Van Lanschot. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Van Lanschot NV has no effect on the direction of ABN Amro i.e., ABN Amro and Van Lanschot go up and down completely randomly.
Pair Corralation between ABN Amro and Van Lanschot
Assuming the 90 days trading horizon ABN Amro is expected to generate 1.31 times less return on investment than Van Lanschot. In addition to that, ABN Amro is 1.07 times more volatile than Van Lanschot NV. It trades about 0.15 of its total potential returns per unit of risk. Van Lanschot NV is currently generating about 0.21 per unit of volatility. If you would invest 2,460 in Van Lanschot NV on February 6, 2024 and sell it today you would earn a total of 1,035 from holding Van Lanschot NV or generate 42.07% return on investment over 90 days.
Time Period | 3 Months [change] |
Direction | Moves Together |
Strength | Strong |
Accuracy | 100.0% |
Values | Daily Returns |
ABN Amro Group vs. Van Lanschot NV
Performance |
Timeline |
ABN Amro Group |
Van Lanschot NV |
ABN Amro and Van Lanschot Volatility Contrast
Predicted Return Density |
Returns |
Pair Trading with ABN Amro and Van Lanschot
The main advantage of trading using opposite ABN Amro and Van Lanschot positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if ABN Amro position performs unexpectedly, Van Lanschot 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 Van Lanschot will offset losses from the drop in Van Lanschot'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 |
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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 Managers module to screen money managers from public funds and ETFs managed around the world.
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