Correlation Between Amsterdam Commodities and ABN Amro
Can any of the company-specific risk be diversified away by investing in both Amsterdam Commodities and ABN Amro 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 Amsterdam Commodities and ABN Amro into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Amsterdam Commodities NV and ABN Amro Group, you can compare the effects of market volatilities on Amsterdam Commodities and ABN Amro 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 Amsterdam Commodities with a short position of ABN Amro. Check out your portfolio center. Please also check ongoing floating volatility patterns of Amsterdam Commodities and ABN Amro.
Diversification Opportunities for Amsterdam Commodities and ABN Amro
0.27 | Correlation Coefficient |
Modest diversification
The 3 months correlation between Amsterdam and ABN is 0.27. Overlapping area represents the amount of risk that can be diversified away by holding Amsterdam Commodities NV and ABN Amro Group in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on ABN Amro Group and Amsterdam Commodities 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 Amsterdam Commodities NV are associated (or correlated) with ABN Amro. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of ABN Amro Group has no effect on the direction of Amsterdam Commodities i.e., Amsterdam Commodities and ABN Amro go up and down completely randomly.
Pair Corralation between Amsterdam Commodities and ABN Amro
Assuming the 90 days trading horizon Amsterdam Commodities is expected to generate 2.15 times less return on investment than ABN Amro. But when comparing it to its historical volatility, Amsterdam Commodities NV is 1.79 times less risky than ABN Amro. It trades about 0.15 of its potential returns per unit of risk. ABN Amro Group is currently generating about 0.18 of returns per unit of risk over similar time horizon. If you would invest 1,522 in ABN Amro Group on January 25, 2024 and sell it today you would earn a total of 67.00 from holding ABN Amro Group or generate 4.4% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
Amsterdam Commodities NV vs. ABN Amro Group
Performance |
| Timeline |
| Amsterdam Commodities |
| ABN Amro Group |
Amsterdam Commodities and ABN Amro Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Amsterdam Commodities and ABN Amro
The main advantage of trading using opposite Amsterdam Commodities and ABN Amro positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Amsterdam Commodities position performs unexpectedly, ABN Amro 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 ABN Amro will offset losses from the drop in ABN Amro's long position.| Amsterdam Commodities vs. Flow Traders BV | Amsterdam Commodities vs. Aalberts Industries NV | Amsterdam Commodities vs. ForFarmers NV | Amsterdam Commodities vs. TKH Group NV |
| ABN Amro vs. ING Groep NV | ABN Amro vs. Aegon NV | ABN Amro vs. NN Group NV | ABN Amro vs. Koninklijke Ahold Delhaize |
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 Price Transformation module to use Price Transformation models to analyze the depth of different equity instruments across global markets.
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