Correlation Between ABN Amro and Eurocommercial Properties
Can any of the company-specific risk be diversified away by investing in both ABN Amro and Eurocommercial Properties 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 Eurocommercial Properties 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 Eurocommercial Properties NV, you can compare the effects of market volatilities on ABN Amro and Eurocommercial Properties 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 Eurocommercial Properties. Check out your portfolio center. Please also check ongoing floating volatility patterns of ABN Amro and Eurocommercial Properties.
Diversification Opportunities for ABN Amro and Eurocommercial Properties
0.2 | Correlation Coefficient |
Modest diversification
The 3 months correlation between ABN and Eurocommercial is 0.2. Overlapping area represents the amount of risk that can be diversified away by holding ABN Amro Group and Eurocommercial Properties NV in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Eurocommercial Properties 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 Eurocommercial Properties. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Eurocommercial Properties has no effect on the direction of ABN Amro i.e., ABN Amro and Eurocommercial Properties go up and down completely randomly.
Pair Corralation between ABN Amro and Eurocommercial Properties
Assuming the 90 days trading horizon ABN Amro Group is expected to generate 1.2 times more return on investment than Eurocommercial Properties. However, ABN Amro is 1.2 times more volatile than Eurocommercial Properties NV. It trades about 0.06 of its potential returns per unit of risk. Eurocommercial Properties NV is currently generating about 0.01 per unit of risk. If you would invest 1,001 in ABN Amro Group on January 19, 2024 and sell it today you would earn a total of 555.00 from holding ABN Amro Group or generate 55.44% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
ABN Amro Group vs. Eurocommercial Properties NV
Performance |
| Timeline |
| ABN Amro Group |
| Eurocommercial Properties |
ABN Amro and Eurocommercial Properties Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with ABN Amro and Eurocommercial Properties
The main advantage of trading using opposite ABN Amro and Eurocommercial Properties positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if ABN Amro position performs unexpectedly, Eurocommercial Properties 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 Eurocommercial Properties will offset losses from the drop in Eurocommercial Properties' 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 |
| Eurocommercial Properties vs. NSI NV | Eurocommercial Properties vs. Klepierre SA | Eurocommercial Properties vs. Koninklijke BAM Groep |
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 Optimization module to compute new portfolio that will generate highest expected return given your specified tolerance for risk.
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