Correlation Between ABN Amro and Exor NV

Can any of the company-specific risk be diversified away by investing in both ABN Amro and Exor NV 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 Exor NV 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 Exor NV, you can compare the effects of market volatilities on ABN Amro and Exor NV 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 Exor NV. Check out your portfolio center. Please also check ongoing floating volatility patterns of ABN Amro and Exor NV.

Diversification Opportunities for ABN Amro and Exor NV

0.69

Correlation Coefficient

ABN Amro  Exor NV

Poor diversification

The 3 months correlation between ABN and Exor is 0.69. Overlapping area represents the amount of risk that can be diversified away by holding ABN Amro Group and Exor NV in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Exor 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 Exor NV. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Exor NV has no effect on the direction of ABN Amro i.e., ABN Amro and Exor NV go up and down completely randomly.

Pair Corralation between ABN Amro and Exor NV

Assuming the 90 days trading horizon ABN Amro Group is expected to generate 1.09 times more return on investment than Exor NV. However, ABN Amro is 1.09 times more volatile than Exor NV. It trades about -0.13 of its potential returns per unit of risk. Exor NV is currently generating about -0.22 per unit of risk. If you would invest  1,503  in ABN Amro Group on September 18, 2024 and sell it today you would lose (54.00) from holding ABN Amro Group or give up 3.59% of portfolio value over 90 days.

Time Period	3 Months [change]
Direction	Moves Together
Strength	Significant
Accuracy	100.0%
Values	Daily Returns

ABN Amro Group  vs.  Exor NV

ABN Amro Group

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days ABN Amro Group has generated negative risk-adjusted returns adding no value to investors with long positions. In spite of latest uncertain performance, the Stock's basic indicators remain stable and the newest uproar on Wall Street may also be a sign of mid-term gains for the firm private investors.

Exor NV

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Exor NV has generated negative risk-adjusted returns adding no value to investors with long positions. In spite of latest weak performance, the Stock's basic indicators remain stable and the newest uproar on Wall Street may also be a sign of mid-term gains for the firm private investors.

Pair Trading with ABN Amro and Exor NV

The main advantage of trading using opposite ABN Amro and Exor NV positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if ABN Amro position performs unexpectedly, Exor NV 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 Exor NV will offset losses from the drop in Exor NV's long position.

The idea behind ABN Amro Group and Exor NV pairs trading is to make the combined position market-neutral, meaning the overall market's direction will not affect its win or loss (or potential downside or upside). This can be achieved by designing a pairs trade with two highly correlated stocks or equities that operate in a similar space or sector, making it possible to obtain profits through simple and relatively low-risk investment.

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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 Sync Your Broker module to sync your existing holdings, watchlists, positions or portfolios from thousands of online brokerage services, banks, investment account aggregators and robo-advisors..